Double-click on a track in the main window. The track is enqueued to the end of the playlist and will be played later. If there are random tracks in the list, it will be inserted just before the next random track.
To play a track immediately, select "right click->Instant Play".
You can also drag and drop tracks from the main window to the play-list.
Under menu Extras->Options you can configure, which player you want to use. Many 3rd-party players can be used and started via the command line.