Because you are referring to a local file, this will of course only be available when you run the app on your local machine.
If it is only required for testing/demo purposes, you can add the video file (mp4) to your web deployment directory. Assuming you are running on localhost:8080 and file is called video.mp4
In StudioPro, go to App | Show App Directory in Explorer. Then find the deployment folder and within that folder go to the web folder and drop your video file in there
<appdir>\deployment\web\video.mp4
You can then set http://localhost:8080/video.mp4 as your Video URL in the player widget.
!! Be aware, the deployment folder can be updated/refreshed/rebuilt and therefor the file will be removed, so you could also look into relative references to the file.