Assuming that you have direct access to the server, you would use the IIS Manager and right-click the site within which you want to create the URL, select 'New', and then click 'Virtual Directory'.
In the Virtual Directory Creation Wizard, click Next. In the Alias box, type a name for the url (ie: MyWebSite/Videos) and then click Next. In the Path box, type or browse to the 'C:\sessionVideos\' directory, and then click Next. Note that you can select an existing folder or create a new one to contain the content for the virtual directory. Select the check boxes for the access permissions that you want to assign to your users. Click Next and then click Finish.
Now the url http://MyWebSite/Videos will access 'C:\sessionVideos\'