I've had videos play on iOS via the iOS Video Object perfectly, but the other options for playing video on PC have never worked for me. Ever. It will not attempt to play any .mov I give it, .avi displays very strangely. (weird colours and choppy) and I had no luck with MPEG.
I'm pretty sure the issue is because I build my videos on a Mac. Although they do play in Windows Media Player. Are there any guidelines for codecs and other export settings I should be aware of?
I've had problems with this sort of thing before. Turns out it was a codec issue for me, but the video would play in the media player.
Dropping the DLLs in the same directory as my application would fix it.
Try rendering the video with different codecs till you find one that works, or search the clickteam forums.
I had to use video for an educational project I was working on a few years ago. I tried all of the extensions I could find and concluded that none of them work perfectly. I wanted to be able to skip to specific frames or time in a video but I couldn't make that work. In the end I used the DirectShow object to play the video. Hope this helps!