how do I get iTunes U to play all files, right now it stops after each audio file and I will have to manually select the next one.

Best I've managed is to create a smart playlist in iTunes with the album set to the title of the course. Have the smart playlist update automatically so that any new postings from the course are included within the playlist. After that you should be able to play the playlist and have all the audio files play one after the other. Hope it helps! 🙂