Under button properties, then graphics, select the style drop down box & change for the STILL default to ANIMATED. The box above you can select the start time in the file that you want it to "show" ... it will continue to play from that point until the menu itself loops.
When you click on a button, it's properties appear in a properties menu. Go to media, and select the media you want to appear in the button, and select animated. I make the loop video for my button media in Vegas, and pre render mpegs into a thumbnail file so I can find them easily. If you select media for a button that is 20 minutes long, it will take forever to prepare the dvd, because it will have to render a 20 minute long button.
That's a good idea if you want to have unique video showing for the buttons, but would defeat his purpose of wanting to "preview" the video the button(s) are linking to ... or at least cause unnecessary steps.