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Well it depends on the type of video. if it is dvd video then just forget it.
However you can save vcds in the system and playback with windows media player.

Steps:
Insert the cd and after booting, open the cd.
You would see some folders then go to MPEG and open.
copy the files you see there onto your computer.
after copying, right click on the file and click open with, use windows media player to play it.

Gd luck