There is probably some fancy expression to do this - but I don't know to use expressions, so this is my method:
Go to Tools>Options>Theater View. Under items to Show click on Movies under Video>Movies>Movies. In the box under Details, click "Add" and add "Series".
Go to Standard View>Video>Files and add in the "Series" tag box the name of the series (like "Lord of the Rings Series"). If the series category doesn't show in default view, just right click on the column header and add it from the drop down box. You add or change entries in the tag boxes by clicking on the row to select it, then hitting F2 to go into edit mode. You can move left-right on the row with the Tab key and Shift+Tab key.
Now here's the part that stinks with this method... you have re-enter all of the movies' names in the "Series" tag box too even if its not part of series else it will show as series called "unassigned".
So you would have something like this: (remember that all the movies need to have either their "name" (if not part of a series) or the "series name" in the "Series" tag box. You can also sort the movies within a series view by assigning an episode number.
Top Level view of Movies - note the Series for Indiana Jones, IP man, and Iron Man
Lower level view after clicking on (opening) the Iron Man series