Looking for hints how to create MCE playlists for videos (for series, or all those screencasts you downloaded off of Confreaks), I found this: Video Playlists For VMC.

The gist of it is:

    In Windows Media Player create an .asx playlist of your videos (Under “Any Playlist” in the file type selection dropdown), and
    save it in Path\to\your\videos\Playlists (similar to the Music playlists).
    Done.

Navigating to your playlist folder, you’ll find the playlist, and MCE will recognize it as a video playlist.

For an additional gimmick, MCE picks up a JPG with the same name as the playlist as a thumbnail for easy identification.