Believe me, the inbuilt Media Player is the best one and you won't find any better than that!
To play videos on the phone, they need to be converted to a proper format that can be read by the phone. I'd recommend you to convert videos to .3gp and try playing those.
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Die hard Nokian, willing to help other Nokia Users.
Current Handsets - Lumia 900, Nokia 311, Nokia C3-00, Nokia C1-01, Nokia 6500-s.