En el ini de cada emulador existen las siguientes lineas:

### Artwork Locations ###
artwork_1_image_path c:\ultrastyle\snap
artwork_2_image_path c:\ultrastyle\cabinets
artwork_3_image_path c:\ultrastyle\marquees
artwork_4_image_path
artwork_5_image_path
artwork_6_image_path
artwork_7_image_path
artwork_8_image_path
artwork_9_image_path
artwork_10_image_path
movie_preview_path c:\ultrastyle\videos
movie_artwork_no 1

simplemente poner la localización de los videos en el apartado movie_preview_path
En este caso el ini corresponde al emulador MAME