I'm sure I did answer a similar question in an other thread but actually I'm not able to find it on the forums.
Anyway you can try to use plain directx code before engine initialization; There are only few lines and it works great.
Private Sub play_movie()
Dim video1 As Microsoft.DirectX.AudioVideoPlayback.Video
video1 = New Microsoft.DirectX.AudioVideoPlayback.Video("data\video01.avi")
video1.Owner = Me
video1.Fullscreen = True
video1.Play()
End Sub