Hi
If you intend to use VP for creating a DVD with both episodes, bearing in mind you can't create menus, then simply put a bookmark between them. Just click the top of the cursor line and "Set bookmark" (2.41)
For example, If you have two videos, put them both on the sequence line then separate each with a blank frame of a few seconds duration. That is to say have an ending for the first video and a opening for the second video with a length of blank frame between them.
Put the book mark at the start of the blank frame, but no other bookmarks.(You could put one at the start if you wish but it's not strictly necessary).
Although you won't have any menus on the DVD created via VP, and in effect you will have one long video on the disc, you can step from one film to the other using the sequence (chapter) controls on the DVD player, as the bookmarks act as chapters and are recognised by the skip function of the player.
This is the best you can have using VP. (provided you can get both on the disc.) 
Nat