Hello,
I'm sorry there isn't an option for that, it's built directly into the script to automatically play the next one and also turn the others off if one is currently set to play.
You may want to consider the Media Player V2 plugin instead, it's html5 so it will work on all devices and I don't believe it automatically goes to the next item on the page when done playing:
http://www.shape5.com/demo/risen_hope/index.php/extensions/s5-media-player