Since you are burning a data disc and not an audio disc, there isn't a way to do it without handpicking the files from the different locations on your hard drive. You could copy
them to a temporary folder first, then delete them after you've burned them.
The key is, you are creating a data CD, not an audio CD. Nero does not recognize .m3u playlists unless you are burning an audio CD. So select "create data CD" in Nero or "MP3 disc" in Nero Express.
Hope this helps.