I had that once, just do a google search for "Video as screen saver" and you should find a program you can download for it. Does eat up a bit of memory but, it's up to you.
i really dont trust this material - but it IS doable by the looks of things - as this app uses windows media player (note in xp) to act as the medium to play the video file:
Before i go on: Please note I CAN NOT be held responsible for the content of this site - nor am i willing to help support an application i did not create!
That stern comment aside - its worth a look but make sure you have a valid system restore check point - up to date virus definitions and k.o your net connection untill your happy with the final result!