Sounds like you have a file association issue my friend. Unfortunately you don't say which type of video file but as it's media player I guess it is mpg, avi or asf.
What has happened is that you have set up an asociation with one of those file types to you DVD software.
There are several solutions. If you just want to associate a particular type of file with media player then method one is easiest, assuming you have a file of the type you want to asscoiate on you HDD.
Find a file of the type (ASP. MPG, AVI) in windows explorer.
Click the file once to highlight it.
Hold down the CTRL key and click the right hand mouse button on the file.
You will have an extra option in the context menu call "Open With" - Choose this.
A new menu box will open, scroll down until you find Microsoft (R) Media Player
Highlight the Media player, click the checkbox for "Always use this program...." and click OK. You have just associated you file type with a program.
Alternately, you can manually edit the filetype associations.
Open Windows Exploder...
From the menu choose Tool -> Folder Options
Choose the file types tab
Find the extention for the filetype you are trying to play.
You can delete the actions or edit them.
Typically, if you want to play using Media player the program line is "C
Program Files\Windows Media Player\wmplayer.exe" /Play "%L"
This can get a little tricky, especially if you have installed Media Player in a different location.
I would not recommend it.