Hi Sam,
The simplest piece of code to play a video on the Windows Phone 7 is -
// media1 is <MediaElement x:Name="media1" />
media1.Source = new Uri("http://yoursite/yourvideo.wmv");
media1.Play();
Since you wish to loop through a number of videos, you can add an event handler for MediaEnded event
media1.MediaEnded += new RoutedEventHandler(media1_MediaEnded);
and load the next media file within the media1_MediaEnded
event handler. You may add a PerformanceProgressBar animation that is visible until the media is opened, you can turn off the animation in the MediaElement's MediaOpened event.
Although it is relevant for MP3 files, I found Tim Heuer's post very useful to design my applications. You may need to consider looking at the list of supported media codecs in Windows Phone 7 as all media files may not play on the phone.
HTH, indyfromoz