vinod: My first guess would be that you are trying to view the video in SL on land that you do not own. You are only able to change the media URL on land that you own, or with Group owned land where you (or the Deeded object) have permission to change the media URL.
When you go in to the About Land window, are you able to change the media URL?
When you press play on the video controls, can you see the video playing there where you choose the media texture? IF you can see it there, but not on your prim then there is a problem with the texture on the prim.
Is the media type set Video in the media settings. Since I made this tutorial there have been some new options added to the media tab. Make sure it is not set to Web or Image, especially if you are using an Mpeg4 video.
Also, if you haven’t so so already you might want to watch part 1 of this tutorial. It explains a bit more about the basics of using video in SL, after you have a compatible video ready to watch. http://www.shiny-life.com/2007/12/31/how-to-use-video-in-second-life/