I was able to do this and have my playlist saved as a .M3U file. Imported it into iTunes... aaaaand! Empty playlist! What gives? Any suggestions? I am using Windows Vista and Windows Media Player 11 with the latest iTunes.Make sure your playlists in Windows Media Player are saved as .M3U files (you may have to use "Save As" or "Export" in WMP to convert them).
You should then be able to import these M3U files into iTunes using the File->Import menu.