Zoomplayer will, by default, auto-play files that are similarly named in sequence (and, of course, chaptered files); for example, after playing billy joe - 01, it will look for the next logical sequential video, such as billy joe - 02.
I also find that Zoomplayer is more lightweight and powerful compared to MPC. It is, however, not freeware, so either you pay or you... find other unspoken means to get it. It used to be included in CCCP, but I'm not sure if it's been removed now.
Just throwing that out there in case you felt like trying something new.