How do you connect a series of YouTube videos?

I want to post a long video that has been cut into several sections. I've seen people post videos where they show the different sections when you mouseover the video, and the next one starts automatically at the end. For example: http://www.videosift.com/video/Why-Star-Trek-Generations-is-the-Stupidest-Movie-Ever-Made

Is there a guide for doing this somewhere?