Papa Bear, Unfortunatly this is one of the biggest shortcommings of the players. Players that allow you to browse for single files are just starting to emerge but are not yet mainstream but will become more common over the next few months.
Here are a couple of such players.
http://www.mympxplayer.com/viewtopic.php?t=990
http://www.mympxplayer.com/viewtopic.php?t=914