Yes select all the videos and click properties, then tick the run as admin box.
Have you considered disabling User Account Control? Start->(type in the box) msconfig->Tools->Find Disable UAC->Click Launch this way you dont have to allow a program everytime you launch it and it will make life much easier.
Well I have done that before being that since this is Vista but I grew on the whole UAC thing. Now, if I do disable UAC, will all apps run in admin mode automatically?
EDIT: When I rightclick on the individual video (mpg), the options are not the same as if you were to right click on an application. There is no option for "run this program as admin".