G'day Paradigm750, welcome to LQ.
I suspect that the video clip in question is hosted on your Linux box, and that you're trying to run it from your XP computer.
First of all congrats on getting the two talking with one another. A LOT of people on this board have trouble getting samba up and running properly.
I do suspect that it is a permission problem on your linux. Open up a console and try the following.
input the root password
chmod 755 ./video-clip-name-here.mpg
Then try running the video clip from your XP box again.