If you have a PowerPoint file from a previous version and haven't upgraded the video object yet, you can still use the Play Across Slides under the Video Tools/Playback tab.
The term "upgraded the video object" in 2010 refers to either 1) File tab, then clicking 'Convert'; 2) Saving as PPTX; or 3) right-clicking on the media object and clicking 'Upgrade Media Object'
However, if you're working in a new PowerPoint file, or it has been fully converted, or a media object has been upgraded you need to change the setting in the Animations tab in Effect Options.
1. Launch PowerPoint and insert a video into the new presentation using the Insert tab, and select the Video icon, select the video and click Insert.
2. Select the video
3. Click on the Animations tab, in the Animation gallery change Pause button to Play button
4. Under the Animations tab, to the lower right of the Effect Options button click on the little arrow pointing down to the right (Show Additional Effect Options).
5. In the Play Video window, under the Effect tab in the Stop playing section, select After,
6. Change the number of slides to how ever many slides you want the selected video to play accross. In my example I changed the setting to 5 slides.
6. Click OK.
You'll obviously need more slides if you're using the exact steps from scratch in this example, where I created a blank presentation and inserted the video onto the only slide in it. So if you want to demo these steps exactly, please make sure to insert at lest give slides using the New Slide command under the Home tab.