If you want to be able to run from any disk, create an alias of the Volumes directory in your Movies folder. Why is this useful? Well, if you burn videos to CDs and DVDs (i.e. leaving them in mpg format, not playable DVD format - more movies fit on a disk that way 😉 ), then you don't have to deal with aliases to every single disk just to be able to play it in Front Row.
How do you find the Volumes directory? Simple. In the root director of your OS X startup disk, use the "Go to Folder..." command under the "Go" menu. Type in "Volumes", and POOF, you're there. Now, in column view, you can see the normally invisible Volumes directory. Make an alias of it, and you're all set!