You have a media card, right?
Take a look at these FAQs. It could be your videos are not in the correct format for the BB.
What video and audio formats are supported?? - BlackBerryFAQ
How do I encode video for use on my device? - BlackBerryFAQ
You may need to convert the videos to the right format.
How do I convert video using Roxio - BlackBerryFAQ
I had some AVI videos that would not play on the BB until I converted them using Roxio. I would do this... copy the videos to your PC, then delete them from the media card, then try converting them with Roxio using the instructions above and see if they work then.