Following is the URL. I want to play following URL video in my iPhone application. Please help me out to play this http://www.example.com/SomeVideoOrAnother.m4v
I am building an application where I'll provide user list of movie or advertisement. User will select one of them and redirected to enjoy creative ad.
You seem to not have done any background learning on iOS, judging by the broadness of your question.
I would recommend the Apple Documentation (Getting started) as a good place to start.
Also, see some of these books on Amazon.
To answer you question, there are a few frameworks to look into, for example AV Foundation.