I ran into this same problem and decided to purchase some third party software called "Flash Studio Pro" -- it's GREAT!
Basically, the software imports SWF files and exports EXE stand-alone projectors.
The BEST part about their software is that it allows you to add an additional layer of commands and calls that are not available in Flash itself. One of these being the ability to control and open WIndows Media and various other video formats from within Flash.
Although this is a great way to control video and actually works (I tested it once), I would also suggest considering "Sorenson Squeeze." This software allows you to build SWF video files of UNLIMITED length (i.e. you don't have to be constrained any longer by the 16,000 frmae limit in Flash). Generally, 16,000 frames will only allow for a video oif about 30 minutes in Flash.
Sorenson Squeeze uses XML files and it's own code (which gets imbedded within the SWF file) to control playback between separate video files when you go over the 16,000 frame limitation.
I've provided a link their websites below.