Don't think this is InfoPath related.
SQL does not handle BLOBs well, so it's best not to put video files directly into SharePoint. It's best to have the video elsewhere and just have a link to the file in SharePoint. It should invoke whatever player you have when clicked, but I don't know of an embedded media player webpart or anything. This is fortunately included in SharePoint 2010, but not in 2007.