You can have that result using command line option "-eend".
(See file "cmdline.txt" in (sub)folder "doc" of BSPlayer's installation folder.)
Example how to possibly use:
Rightclick on desktop > New > Shortcut (or Link ?)
In "Create shortcut" window first [Browse] to bsplayer.exe
Click [Open]
Then place mouse(text)cursor at last position of commandline as now inserted.
Type: <space>"D:\movies\test.avi"<space>-eend
(NB: of course substitute path and filename by your file's path/name
. . . . and do not type the word <space> but insert a space)
Click [Next]
Type in a name for this Shortcut and click [Finish]
If you have selected "Auto play" under BSPlayer's Preferences (General-tab), clicking on your newly created shortcut should give the result you're looking for.
(Note it is possible to combine parameters/arguments as mentioned in cmdline.txt)
(Of course I agree a normal option which you can select/deselect is desirable; I just wanted to let you know this "funny" possibility).