The SGDK2 IDE comes with a custom code object in the library for playing video:
Right click on Source Code, click "Import From"
Click the "..." button and navigate to the SGDK2 Library, then Source Code, then Video.
Click Next, then check Video.cs (the other object will automatically be selected as well)
Click Next, and Finish
This will add the action CustomObjects.Video.PlayVideo to the dropdown lists for selecting actions. Note that this uses DirectX, and SGDK2.1 uses OpenGL, so it will likely only work with SGDK2.0