i have made a folder inside my movie folder called "multi" and all of my multi-part movies are in there

then in the main movie folder i create a text file with a m3u extension. in this example "The Gladiator.m3u"

in that text file i write 2 lines

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multi/The Gladiator - CD1.avi 
multi/The Gladiator - CD2.avi 
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now all i do is select the m3u file, and play it with VLC. it loads every thing in order and plays it.