After you have completed seth1104's list of instructions, make sure that
in KMP options, preferences, Associations/Capture, you check the box
next to the Ext of the media file type you want to open with KMPlayer
when you double click them.
If the Ext you want is not in the Associations list, for example, .FLV,
type in FLV and use the "add" button to add it to the associations list.
Now I can double click and play one file after another while KMPlayer is open with no problems, and you should be able too.