Presumably you'd be using our Remotely Hosted Download feature, explained here:
http://www.e-junkie.com/ej/help.file-downloads.htm#remote
However, in that case you would indeed be offering a single .zip file, which the buyer would download and decompress to get all 600 individual mp4s. You could have them organized into subfolders before you zip the main folder they're in, so that subfolder organization would be retained in the unzipped file.
Note that any remote hosting you'd use would need to be able to provide a static URL which does not ever change and can be used to access your file directly, without requiring the downloader to go through a "download page" nor even use an actual Web browser program (since it will be our back-end download scripts accessing your remote file, not the buyer's browser directly).
If you would prefer to redirect buyers to a download interface of your own, then you could use the product-specific version of our Redirection feature:
http://www.e-junkie.com/ej/help.redirection.htm#product
However, that would necessarily expose the URL of your Redirection landing page in the buyer's browser, where they could conceivably bookmark it or share it with others, which would allow them to access that page directly in the future without going through our Redirection link, so it would be up to you to build custom scripting into your page to ensure that the page cannot be accessed without having gone through E-junkie to get there.