Prima di tutto, le applet sono tutte lato client, dato che vengono scaricate dal server ed eseguire dal client 
Quindi in pratica, una persona che esegue la tua applet, può vedere solo i video presenti sul proprio computer.
Per quanto riguarda la riproduzione di video, ti posto un piccolo esempio preso da un mio libro utilizzando le JMF:
MediaTest
codice:
// A simple media player
import java.io.File;
import java.net.MalformedURLException;
import java.net.URL;
import javax.swing.JFileChooser;
import javax.swing.JFrame;
public class MediaTest
{
// launch the application
public static void main( String args[] )
{
// create a file chooser
JFileChooser fileChooser = new JFileChooser();
// show open file dialog
int result = fileChooser.showOpenDialog( null );
if ( result == JFileChooser.APPROVE_OPTION ) // user chose a file
{
URL mediaURL = null;
try
{
// get the file as URL
mediaURL = fileChooser.getSelectedFile().toURL();
} // end try
catch ( MalformedURLException malformedURLException )
{
System.err.println( "Could not create URL for the file" );
} // end catch
if ( mediaURL != null ) // only display if there is a valid URL
{
JFrame mediaTest = new JFrame( "Media Tester" );
mediaTest.setDefaultCloseOperation( JFrame.EXIT_ON_CLOSE );
MediaPanel mediaPanel = new MediaPanel( mediaURL );
mediaTest.add( mediaPanel );
mediaTest.setSize( 300, 300 );
mediaTest.setVisible( true );
} // end inner if
} // end outer if
} // end main
} // end class MediaTest
MediaPanel:
codice:
// A JPanel the plays media from a URL
import java.awt.BorderLayout;
import java.awt.Component;
import java.io.IOException;
import java.net.URL;
import javax.media.CannotRealizeException;
import javax.media.Manager;
import javax.media.NoPlayerException;
import javax.media.Player;
import javax.swing.JPanel;
public class MediaPanel extends JPanel
{
public MediaPanel( URL mediaURL )
{
setLayout( new BorderLayout() ); // use a BorderLayout
// Use lightweight components for Swing compatibility
Manager.setHint( Manager.LIGHTWEIGHT_RENDERER, true );
try
{
// create a player to play the media specified in the URL
Player mediaPlayer = Manager.createRealizedPlayer( mediaURL );
// get the components for the video and the playback controls
Component video = mediaPlayer.getVisualComponent();
Component controls = mediaPlayer.getControlPanelComponent();
if ( video != null )
add( video, BorderLayout.CENTER ); // add video component
if ( controls != null )
add( controls, BorderLayout.SOUTH ); // add controls
mediaPlayer.start(); // start playing the media clip
} // end try
catch ( NoPlayerException noPlayerException )
{
System.err.println( "No media player found" );
} // end catch
catch ( CannotRealizeException cannotRealizeException )
{
System.err.println( "Could not realize media player" );
} // end catch
catch ( IOException iOException )
{
System.err.println( "Error reading from the source" );
} // end catch
} // end MediaPanel constructor
} // end class MediaPanel