I've done this by creating a 'Grouping' field and assigning all my video files a group - Movies, Music Clips, TV Series etc. then creating a view in the edit section of Tools>Options>Theater View>Video>Edit.
I've actually gone as far as assigning Series, Season and Episode fields to each of mine as well, so that I can literally drill down to say Episode 4 of Season 3 of The West Wing under TV Series.
In the right side box in the Edit screen I have
Grouping
Series
Season
Episode
You'll need to ensure your episodes are named alphabetically if you want EVERYTHING (TV Series, Movies etc) to show alphabetically, otherwise your movies may be, but your TV series episodes will be out of order.
Hope this helps.