There's atleast 3 options. (if you already set your player as default but aren't getting the file then check with process monitor if the file is being passed (may need windbg or some com spy app if using dde or com). There's many ways to pass the file: command line param, dde, com but I only use approach #1 below for my stuff)
1. Easiest and cleanest with no risk (for personal use): right click context menu option that's for all files. example:
Windows Registry Editor Version 5.00
@="\"C:\\Program Files (x86)\\Jujusoft\\JujuEdit\\jujuedit.exe\" \"%1\""
(don't do this on other peoples system without asking though, people don't like things that put their stuff to explorer context menus without asking)
2. for all file extension desired, create a handler that's similar to #1 -I don't have example (this is bit similar to right clicking a file and using "open with .. choose default program" - except you're doing it on the users behalf, so to be nice you'd have to have a setup where you ask what extensions people want to use your app with)
3. create native handler that checks if the file is a video and then does stuff. risky since these tend to always have bugs that show up in other peoples systems. I personally avoid apps that use this approach or remove their handlers. To avoid issues it's best to test all apps in VM, if they install explorer integration dll then I might use app virtualization if there's not way to avoid their shell integration.
(this is what the jujuedit installer attempts to do if explorer context menu integration is selected, it worked for XP but in vista or 7 it broke Device Manager! So that's why I created the registry option #1 above. Old WinRar 4.x versions also had bug related to this kind of handler. These also tend to interact with nvidia/amd context menu stuff their drivers install and sometimes in buggy ways, so when doing this kind of dll, test it with popular drivers and apps that also integrate with explorer - sometimes the bugs are quite obscure and if you have only few users they might not be able to figure out what's going on unless they can track it down that the issue started when app x was installed)