It is possable to do what you want, the issue is that Blackberries don't (and likely won't) support very large data in the way you want. Blackberry hardware and OS is very different from the iPhone. More different than the iPhone from Windows Mobile for example.
Application memory on a Blackberry, where COD files, the persitent store, and other data end up, is very limited
. This has been a perenial complaint levied against RIM, but evolves out of design decisions that enable the Blackberry platform to perform in ways that other smart phones can't. So these complaints are akin to buying a Prius and then complaining about the cost of replacing batteries.
In any case your strategy of deploying videos wrapped in a stub application be very difficult to make work simply because application memory is a limited resource.
You could deploy the videos packaged in windows install files, and have the install package work with the user to put the video into Device Memory (different from Application Memory) or the Media Card. However, with out some sort of protection they would be drag and drop copiable.