Your videos are saved to your save folder. In options/preferences>saving you can see where this is. If you wish you can change the location for your videos. Make a note of where your videos are.

Personally I use this method given in the link I just gave you in LOTR's first post:
"A 1st iTunes File>Add to Library... & select the songs[videos] to add. Hold SHIFT key for selecting multiple songs[videos]."

The videos will now be added to your iTunes Video Library, and that would seem to be all that needs to be done. I use this same method for audio files.

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