Without the know-how how to do this in html // java // php... I was thinking of using a flash based solution.
Create a flash file, give an actionscriptcode to load a movie (your .mpg) and create a few buttons (play, stop, pause).
They can't see the name of the mpg which is loaded (...well nothing is safe if they really want to ofcourse) and in the source code of your html the only see a .swf coding.
Just a thought.