There are two solutions that might help you:
Solution 1:
Design another set of HTML pages to embed the media player. You will find a lot of help to do online. Link your buttons to these HTML pages instead of the videos directly.
Solution 2:
If you want to close the media player automatically after playing the video then use My Screen Recorder Pro instead. The professional version has the ability to generate executables from screen-recorded videos. You can set the executable's property to close the video automatically after playing.
To learn more about My Screen Recorder Pro:
http://www.deskshare.com/msrpro.aspx
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