It depends a bit on your operating system. I am on OSX. I have VLC installed on it. You can get that from here:
http://www.videolan.org/vlc/index.en_GB.html
The command I showed above - here amended by some Timeout option to avoid a warning -
SetOptions[$FrontEndSession, DynamicEvaluationTimeout -> 120];
Button["Play Movie", Run["/Applications/VLC.app/Contents/MacOS/VLC --fullscreen --input-repeat=0 --no-osd --no-video-title-show -L ~/Desktop/1245200s1.mov"]] // Quiet
makes a button in your notebook; you can hide the input to make it look nicer and even get rid of the "Out" by setting the appropriate options for the cell. When you click on the button, you run a terminal command that starts VLC. The option "--fullscreen" makes VLC go directly into full screen mode. I also set the video not to repeat and hide the title. The last bit of the command is obviously the location of the video, in my case video.mp4 is on the Desktop.
When you start the slideshow, and click on the button "Play Movie" you get to a full screen and play the video. When the video is done, you need to quit VLC and return to your notebook. It's not quite ideal, but it worked ok for my lectures and presentations.
If everything works as planned you do not have to open another program by hand/close the slideshow. Depending on the setup the Mac opens another desktop and you might have to swipe once to get back to your notebook, but there is no looking for the file, opening of a media player etc involved.
I have no idea whether/how that might work on Windows. On Linux it should work pretty much in the same way.
Cheers,
Marco
