With each playlist open, click the first one, then hold shift and click the last one. That should highlight the lot. Don�t know of any way to clear all audio and video list in one swoop. If you have a lot of stuff that you want to get rid of in the Player, why not uninstall and reinstall the whole progam, it goes pretty quick.
just a suggestion (own risk) cos I haven't tried this myself;
Do a search for data file which begins 'wmplibrary' and delete it. Media player will then generate a fresh one hopefully. Otherwise you could open this file, drag-highlight-delete what you don't want, save it and voila. hopefully. Let us know if your successful or not.