The best way to do this is to add each video as a separate button on your menu. Then create a Playlist that will play all of the videos through and create a separate button for it and call it Play All.
This way your viewer will have the option of watching each video and returning to the menu after each or playing the entire batch through with one click.
Will that do what you're trying to do?
(Meantime I hope you'll check out the link to the free Basic Training tutorial series I made for DVD Architect. You can get to it by clicking the Tutorials link at the top of this page.)