I struggled a bit to understand what you mean, but I think I got the gist of it:
The default action of Wacup (and old Winamp) for running (opening) something is to 'Open Playlists' and not 'open files'. Therefore, using keyboard Ctrl+O will not show files, which is counterintuitive: the standard way of opening anything in any computer app, be it spreadsheets or documents or images, is File-Open or Ctrl+O.
Note 1: In addition, Wacup also can load playlists from other programs, as well as archive files (zip etc.). Wacup classifies archives as playlists and in a sense they are - you can play a full album by selecting one file.
What I think you need is Open File, which is available by pressing L (= Load?) while the focus is either in the main window or in the playlist, or by right-clicking on the main window (but NOT in the playlist window - IMHO it should be available there too!) and selecting --> Play --> File. From there you can select as usual which files to play.
Note 2: Pressing L also allows to open playlists, audio files and archives i.e. everything Wacup/Winamp can open, so I wonder how historically we were led at this point. The logical thing would be to let Ctrl-O to open anything in place of L, but I don't want to start any GUI wars :-)