Yep, I found the
MCE Playlist Creator to work well for me.
It creates a playlist for the two or more files you want to continuously run, good for moofies you have in split files or for big movies like LotR that are split due to the DVDs.
It doesnt prompt menu after play just a short pause as it loads the next file. There is no skippling with the .asx file it create, but on the up side these files are viewable in VMC. What you can also do is create a .jpg file of a title picture or frame to display to make it pretty. Just make sure both files are named the same. You could create the split files in a sub folder and change the folder settings to hidden to just display the playlist to be just the only 'moofie' file.
I also found
IPG Random Playlist Generator to be cool for creating randomised playlists .asx, which is good for TV series or Music Videos. This one takes a bit more to setup, but once done is automated.
One other one you might want to look at is
clipShow. Its a bit buggy but allows playlist creation from within VMC. Looks very promising, more for video clips and the like.