Mine seem to work fine, did you make sure to put them into the actual Mod folder and not from your User Profile? Try following this path and see if it helps.
C:\Program Files (x86)\2K Games\Firaxis Games\Sid Meier's Civilization 4 Complete\Beyond the Sword\Mods\Planetfall v16\Assets\Art\Movies
Edit: Sorry, didn't realize I had not posted the entire path. Did you make sure your patch is up to date or that you have the latest version of the Mod? Just trying to help. lol