It's a 2-step process to get that done.
1) tell your OS to pass the file to your program
2) make your program capable of handling the OS call
1) Right-click on one of the video files,
choose "Open with >" and
"Choose standard application"
Search the file system for your program
2) OS calls your program with the file as a command-line parameter.
You can access that parameter via the
GetCommandLineArgs method.
In your software, check if there is a valid filename in that argument list and if there is, play that file instead of the hard-coded one.
For a more sophisticated command line parser, have a look at
C#/.NET Command Line Argument Parser Reloaded