Method 1:
Create a new folder (anywhere you like but the desktop might be a good idea - right-click on the desktop and select New >Folder) called something like 'Video Access'. Display the (initially non-existent) contents of the folder in a Window which you've resized so as to only occupy part of your screen.
Now open a folder which contains one or more of your selected videos and display it in a suitably sized window next to the new one.
Right-click on a video you wish to include in your collection and select 'Create shortcut'. Then drag the shortcut across to the 'Video Access' folder.
Repeat for all of the videos you want to have shortcuts to. Then click on View > Arrange items by name, to produce an alphabetical list.
Method 2:
Create a blank Word document. If required, type a description of your first video. (e.g. "David's stag night"). Then right click and select 'Hyperlink'. Navigate to the location of the video and double-click on it.
When you've done the same for all of your videos, go to Save As > Web Page. (Again, call it something like 'Video Access'). Put the page on your desktop (or somewhere else convenient). Double-clicking on it will open the document in your web browser. You can then click on the links to your videos to launch them in your media player.
Chris