Update: I've checked the current PHPMailer 5.2.13, and it seems there is just needed an inclusion of both files, i.e. class.phpmailer.php and class.smtp.php. But you're right, it's also possible just to include PHPMailerAutoload.php and that would automatically do the trick. I'm not sure about the other cases.
So, in the upcoming release, I will just extend PHPMailer options a bit, so there's possible to specify any necessary files to include/require. You will see it in the manual.
Update will also include work out for secured protocol, like for example, sending mails through Gmail - this requires SMTPSecure and Port values to be specified.