You might start here as the source code is included. See the demo.
You can also use Papervision3D and look at the examples provided to build your own wall.
And you might also consider using only javascript and images (or a canvas), like Google Maps. Someone gave it a try, have a look at this.
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Once you're done with the thumbnails stitched together, just open a video player in a new (scene | layer) when you register a click on one of the image. There are a few video players out there for FLV videos. There is an included FLVPlayback component in Adobe Flash that you can customize, but there are also a few open sources one: Flash-Ajava Video Component, FLV Player or OS FLV.