If youre simply wanting to play a movie, and then run a program, that can easily be done via a batch file placed in the startup folder. And there is nothing wrong with using the startup folder.
For example, create a blank .txt and place it in C:\Documents and Settings\USERNAME\Start Menu\Programs\Startup and you can write something like..
START C:\Video.avi
PING 127.0.0.1 -n 20
START C:\Mamewah.exe
Save it, and change the extension to .bat.
It will run when windows boots up. There is no real wait command (you can do google searches for other alternatives) so you use the ping command to specify a wait, so change 20 to however long you want to wait.
With the start command you can also specifiy different commands to run full screen, etc.
If youd rather not use the startup folder, you can create a scheduled task in the control panel and select the 'when my computer starts' option.