This shell script will do that, supposing you have a sufficiently modern shell (like bash). Even on Windows you can get bash.
Code:
#! /bin/sh
# Make an HTML file pointing to all epub files in the current directory
cat > list.html <<EOF
<!DOCTYPE HTML PUBLIC "-//IETF//DTD HTML 4.01 Strict//EN"
"http://www.w3.org/TR/html4/strict.dtd">
<html>
<head>
<title>My Ebooks</title>
</head>
<body>
<h1>My Ebooks</h1>
EOF
for book in *.epub
do echo "<p><a href=\"$book\">${book%.epub}</a></p>" >> list.html
done
cat >> list.html <<EOF
</body>
</html>
EOF