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are you sure that you transferred the videos you have to the "Video" folder that appears in My Computer for the Lumia 920? it should automatically show up in your phone. if that doesn't work, then you can try dragging and dropping your video files in Windows Media Player and selecting Sync.
if that doesn't work either, try performing a soft reset (pressing the volume down and power buttons together until the phone vibrates). also ensure that you are fully up-to-date with all the latest Nokia system app updates in the Store, and that you are up-to-date from Settings > Phone Update.