"If I have a playlist of songs in iTunes, can I import my iTunes playlist in Windows Media Player and have it work there too? Or do I have to recreate my iTunes playlist in Windows Media Player?"
There is not direct solution to export a playlist from iTunes and import the playlist into Windows Media Player. The two applications use a different structure for their playlist data and don't communicate. Fortunately, there's a workaround.
To import a playlist from iTunes to Windows Media Player, you need to install some additional software. An application called MusicBridge does all the heavy lifting of keeping all kinds of information in sync between Windows Media Player and iTunes. In addition to helping you sync up your playlists, the software also makes it possible to get all the meta data from iTunes AAC files into Windows Media Player and automatically keep all the songs in your collection in sync between the two applications. While it's not a perfect solution, because it won't work with some protected files, if you are able to play a file in both applications, MusicBridge will keep the two locations synchronized.