The standard modern media player places a heavy focus on video, album art, libraries, digital rights management (DRM), thumbnails, and metadata. NanoStereo just plays the audio.
If you can't play certain file types (M4A, AAC, FLAC, OGG, OPUS) and would like to add that ability to NanoStereo, install a codec pack such as the K-Lite Codec Pack that includes an audio decoder for those formats.
M3U is a plain text file. Create/Edit M3U with Notepad or any text editor. Each line is an entry in the playlist and can be a local file path or web address.