You can create a playlist and use that to play files sequentially. Here is sample code to do so:
WMPLib.IWMPPlaylist playlist = player.playlistCollection.newPlaylist("NewPlaylist");
WMPLib.IWMPMedia fileMedia = player.newMedia(filePath);
playlist.appendItem(fileMedia);
player.currentPlaylist = playlist;
player.Ctlcontrols.play();
Another approach will be to use
PlayStateChanged
event handler.