<EMBED SRC="MyMovie.mov", WIDTH=150, HEIGHT=250 CONTROLS=TRUE>
<EMBED SRC="DoomGame.ids", WIDTH=400, HEIGHT=300 SPEED=SLOW LEVEL=12>
This will not however display the player in the page and then play movies as you click them, as is the described behavior you wanted. But if you are willing to change the user experience then you can set up a page that has links to all the vidoes you want to have. Then you link them to a page that has the embed tag, using query string pass in the name and location of the video file and pass that dynamically to the SRC="" portion of the embed tag.
P.S. this will not always use Windows Media Player, it will use the default player for the browser using the enbed tag. People viewing your sites in linux or mac may not be haappy you are trying to force WMP on them.