If you're talking about the VHS player, you need to insert the direct locational link to the file you want to play including the extension of the file. The file can be stored anywhere on your PC. The slashes and letter size don't matter.

Example: if you have a video in .MP4 called 'Example' stored in the default video folder on your D drive, the link you have to input into the game will look like this:
D:/videos/example.mp4

If you have a file in folder called "folder 1", located inside of a "general folder" on your desktop, the directory would look more like this:
D:/desktop/general folder/folder 1/example.mp4

Remember to press the green play button after you insert the directory, the video will NOT start automatically.

It's also worth pointing out that Unity has compatibility issues and might not work with some extensions, codecs or videos. It's best to use .avi extension if you can but the engine should support all standard extensions and codecs and most uncommon ones.