The video has to be in the same directory as the program (program_directory is the location if you're using GML).
If it's not, you have to specify where it is located. ex: "C:\Documents and Settings\Name\Desktop\video.avi"
ok i think i kind of know what you mean, say the vid was called colosseum, and was located C:\Documents and Settings\Jamie\My Documents\My Videos then what would i put?