By design, recently added option is disabled in Windows Media Player 12. However, you can try with the other option in Windows Media Player, which is create or change regular playlist.
click on the 'Music' library in the left pane tree view (which has Artist/Album/Genre under it), which will bring up a details type view. You can then right click on the columns, select 'Choose Columns', and then tick the 'Date Added' column. You can then sort the library by date added, putting the most recently added at the top of the list (or the bottom if you so prefer...)