I made a shooter game in C++, and I would like a video of some clouds to loop continuously in the background. Any ideas how to do this? I'm not sure how to load such a video.

If your camera is static, like duck hunt or similar, a simple solution is a few cloud sprites that move along the screen. Start them at a position that is <N on the axis of travel(probably the x axis), and update them until such time that their position is >M, then zap them back to a beginning position. Where M and N are both outside the view volume. No one will realize that the same 4 clouds have been scrolling past them all day.