If you have a some sort of a media player which accept the media file to play as a command line parameter then you can use that with Runtime.exec.
Also in windows 2000 and later versions you can play a media using its associated player by typing its file name in the console. You can make use of this with Runtime.exec.
Both of these approaches are platform dependant.
If you want a cross platform video playing capability take a look at JMF or JVLC
https://trac.videolan.org/jvlc