Windows Vista Ultimate users have Dreamscene which brings video screensavers to their operating systems. Several hacked versions of Dreamscene have been published that can be installed on other Vista editions as well but not on Windows XP. Microsoft however released a video screensaver for XP in 2005 which makes me wonder why they limited Dreamscene to Vista Ultimate only.
The Microsoft Video Screensaver should work on all versions of Windows XP and includes one video from Microsoft. You can choose to use one or more of the videos located on your computer instead. You do this by pointing to a folder that contains at least one video.