If you sort whatever view you are looking at so that both video files are showing in the proper order, and then choose the top one and double click it should play the first one and automatically continue to the next one, assuming that:
1) Shuffle mode isn't enabled.
2) You haven't altered the setting at Tools --> Options --> General --> Behavior --> Double Click, which is set to Replace Playing Now (all) by default.
You can also select both of the files and right click and choose Play. This would send both files to the Playing Now list.
To group them together, you could add them both to the same "Album" and then set up your view scheme to show the Albums (or switch to Album Thumbnails view mode).
