Another thing to check is the way PowerPoint itself is configured. Now, this is dependent upon which version you're running, but on the top menu go to Slide Show, then Set Up Show. Look for an option that says "Use hardware graphics acceleration," and make sure that option does not have a checkmark by it.
If all else has failed so far, you may be forced to switch to the external video port only when it comes time to play the movie, then switch back to both laptop and external simultaneous diplay after playing the clip. The switchin' part I know you know (usually hold down the Fn key and press whatever associated function key--F4 on HPs--that toggles the display). But before you do that, if you're using Windows XP, go back to PowerPoint's Slide Show, then Set Up Show, and you'll have an option that either says "Display slide show on" or "Multiple Monitors"; you'll want that option set to "Primary Monitor."
Just an FYI, I have my laptop configured in dual-monitor mode with a shared desktop. For business presentations, I ususally like to have that "Display slide show on" set to my secondary monitor...which means the external projector when I'm away from monitor number two. This allows me to have the slide show displaying my notes in Normal view, while the projector is displaying the full-screen slide show sans notes. As you move through the slide show, the Normal view on the laptop stays synchronized with the Slide Show view on the projector. This helps me appear much smarter than I am
because I can keep details and answers to likely questions in the notes section and not have to thumb through paper to find (most) of my references. But I don't think I've ever tried to embed a movie clip in a slide show running in this dual-monitor mode, so I don't know if I could get movies to work this way.