Make sure you have NOT selected "repeat one" and add all the required files to playlist. Click on PLaylist button and just add the files. That's what playlists are there for.
Subsequent files get added to playlist automatically if they are named <sometext>CD<a_digit>.<ext>. Such as "Stargate CD1.mkv" and "Stargate CD2.mkv".
It is of course not a good idea to rename nine Stargate SG1 episodes to this format. :) Just add them manually.