Right click the video and select Custom Animation. From there the steps are
different depending on the version of PowerPoint, but you'll find a setting for
starting it automatically. Or, when you insert the Movie from File, PowerPoint
asks you whether you want it to play automatically. Just reply "Yes".
If that doesn't help, come back and tell us what version of PowerPoint you are
using and what steps you followed to insert the video and we'll give you the
detailed steps for your version.