Have you tried this?

- Insert >> Object >> Create from file >> Browse >> select your video file
- Insert the picture you want to click on to play the movie
- Select your movie object on the slide >> go to Animations tab >> Add Animation >> OLE Action Verbs >> Activate Contents
- Open the animation pane
- Select your movie object in the animation pane >> in the Animations tab go to Trigger >> On click of >> select your picture