I have videos on my game(wmv files). They were on a folder called Data on the game's compiled folder and there was no problem calling them from there. when I added speech and music something weird happened and i had to move the files to the complied folder to get them working. I'm using AGS 2.72.
How did you play the files when they were inside the Data folder?
I used play video function
PlayVideo("Data/video.wm",1,1);
EDIT: This actually happened because I messed up with my codecs...