Is there a way to make a playlist for Real Player media that is
streamed off the internet?  For example, at Amazon.com, if I want to
listen to samples of an album, I can only load one sample at a time,
then must wait until it finishes before clicking on a second one.

It is possible if you are using RealPlayer One.

1) Go to the "Now Playing" section (bottom left)
2) In the Add Clips menu select "Add URL" for each URL
3) In the Save Now Playing menu select "Save as Playlist"