You don't link to every single file on the site!! You organize it in to categories. For example, link to the Ninno 64 section and then that page will link to every Ninno 64 game page. (For you newbies, Ninno iz short for Nintendo! Some crazy dude came up with that nickname!!!)
Xenu's Link Sleuth can build you a large site map if needed http://home.snafu.de/tilman/xenulink.html
I use http://gsitecrawler.com/ on sites with over 25,000 pages. It takes some time but the results are great. Jim Catanich http://www.catanich.com/