How do I create tracks when saving to media player?

I’ve put all the clips together, imported many still pics, overlays, titles
etc however when I go to save it in Media Player format I can’t see how I can
make tracks.
Is this possible?
I don’t want to separate the 30 or so sections, just put it into 3 parts for
easy track selection.

The only way I seem to be able to save it is as one continuum..
If I save it as 3 separate movie maker files, is there a way that I can put
it all into the media player clip as tracks, or will they be separate files
needing opening?

I still need it to be able to play continuously, but they also need to be
able to go back to certain sections without ‘scrolling’ through it all.

If you could help even a teensy bit I would be very grateful.

Thanks