The XSPF Player uses by default the automatic playlist which consists of your podcast episodes. You simply should drag and drop the XSPF player into the right sidebar and adjust the width. The player should play the files when you click on the first title in the list.
But you can also use a different playlist. In order to do that, you need to create a .xspf playlist file by hand or with a software of your choice. (podPress is not able to do that) If you have such a playlist file you need to copy it into a folder of your blog and specify the full URL to that file in the widgets settings. Furthermore check the checkbox "use a custom XSPF playlist".
While the playlist has to be on the same domain as your blog, the URLs in the playlist file can point to files on different domains.