The video files need to be of the right type. iTunes will only play mpeg 4 or H.264 (another variation of mpeg 4) so make sure they're the only types you're trying to add. You add video files in the same way you add songs. Try this ... go to LW's Library window, select Saved Files folder, Press the Explore button (which will open the folder for you), then drag & drop the files onto the Library icon at the top of the iTunes playlists.

If the videos are not in the correct format you can convert them. 3GP seems to be the best. See How to transfer music to my iPod (& iTunes) - for video