As has been indicated above, you need to create a playlist. Instructions here:
http://windows.microsoft.com/en-gb/windows/create-change-media-player-regular-playlist#1TC=windows-7
However, as has also been indicated, Windows Media Player is total rubbish. Both VLC and GOM are far, far better, with the better-known VLC winning most of the plaudits in the technical press:
http://www.videolan.org/vlc/download-windows.en_GB.html
(If you've got a 32-bit version of Windows 7, use the top download link. If it's 64-bit, use the bottom one).
Playlist instructions for VLC: