An easier way is to do this dynamically. So create one page that plays your video dynamically based on a ulr variable, for example:
playvideo.php?Video=Video.wmv
And just use menu writer to dynamically create those links. This will probably require you to create a database, but if you don't want to go that way, then you will probably could still do it with one page, but you will just add the links in Menu Writer for each video.