Program to Play with multiple files

I have a program I would like to watch but it contains several files. Is there a program I can watch it on that will let me watch the show continuously? I used to have a program but now I don’t recall what it was.

You could use playlists. The simplest way to make one is to open notepad, then paste the path and filename of every file you want to play, one on each line, then save the file as a file with extension .m3u