However, you can download all the songs off your player onto the PC, then you can use a DOS batch file with a carefully formatted DIR command to create one big M3U of all the subdirectories.

Unix-style file utilities are a godsend for this sort of thing--you can get the Cygwin stuff (Unix utils for Windows) for free from http://www.cygwin.com/ .

Then it's just:
find . -name '*.mp3' -type f | sort > allfiles.m3u

and you'll have an m3u of all the mp3 files under the current directory. You can get a lot more sophisticated than this without needing to learn much more than the options to find and a bash for loop.

Sumner