I think it's because Nautilus opens each file individually with the specified program (whatever it happens to be, in this case, MPlayer). It's like opening one file, then opening another file, etc. I've had this problem with Xine as well, so it's not just MPlayer. You could open MPlayer, then create a playlist of all the files you want to play, if you don't mind spending the extra time. Otherwise, I don't know how to solve this problem.
If life gives you lemons, reprogram it so it takes money from Microsoft and deposites it in your bank account! :cool: