Trouble Playing Complete Movies

I’m sure I’m missing something very easy, but I just can’t figure it out. I started copies my movies onto an external hard drive for my WD TV. I’ve been copying just the movie (no extra features) to conserve space. When I go and play the movies, it plays the individual files, one at a time,  instead of playing the movie completely through. What am I missing?

here is a quick tip

just press play button instead of pressing enter  button. WDTV will play the next part automatically.

there might be a short delay, though.