I remember very little about it sadly. I know it features a female knight / warrior fighting. Also, a little boy playing with an action figure of a (or the) female knight. I think at some point the two worlds collide and the knight (or comes to life) shows up on the boys room. If you can identify this video / song I would appreciate it (and order my killer robots to kill you last beep). 
A quick google shows a similar question was asked last year at this site. They answered “Maid of Orleans” by Orchestral Manoeuvres in the Dark.
Thanks MCGato for the reply; however, that is not the video. It definitely had a kid playing with an action figure of the knight. The idea presented by the video at first is the boy is controlling the actions of the knight and what you’re seeing is his imagination; however, it becomes real, although I don’t recall if the boy needed saving or if the knight become real is the end of the video. It was a very long time ago. On further reflection, I’m thinking 1985-1988.