Alright, after 2 weeks of nil and finding MY OWN post on loads of various RSS feeds, I am posting an update.

I found a "hack" to play files one after another.

Remember, MCI does NOT handle threads really well...even if we only have one, so a thread "handler" would still give "unexpected" results.  So, I looked into windows messages. 

So, when passing the command, as in lptstring="play FILENAME", we add  "notify".  So, the full string appears as: "play FILENAME notify".

Now, what does that do?  Well, after a successful play of a file, it will send out a message.  I had learned about this: 
#define MM_MCINOTIFY        0x3B9            
but I did not know how I could have MCI trigger it...however, a good search in the MSDN library turned up "notify" and everything went "smooth" from there...(except if you call MCISendString too much, you will end up with a NULL POINTER EXXCEPTION!!!)

Well....hope that helps anyone with similiar problems..

/* code snippet */

protected override void WndProc(ref Message mes)

{

   if (mes.Msg == 0x3B9)

   {   

      if (videoplayer!=null)

      {

         videoplayer.VideoClose();

         videoplayer.PlayNextVideo(videoBox, this.Handle);

      }

   }

   base.WndProc(ref mes);
}
/*end */