Which version of LW are you using?

You need to go to sharing options & select types, choose all video formats you wish to share such as: mp4, mpeg, mpg, mov, mp2v, mpv2, avi.

If you have wmv files of course add those, though some people filter those out of their searches due to so much spam being in wmv format.

If any formats are not listed, you can add them yourself. Though there should be a video section with most common video types.

See How to Share Folders (click on link) which applies to LW 4. Version 5 is different.