I only watched the first 1.7 minutes of that video, but I didn’t notice anyplace where it even claimed to have playback abilities. It looks like you’re supposed to use the USB to transfer the recording to another device, and THERE you’ll be able to watch the video.
Maybe you meant to write that it doesn’t RECORD video?
Is it an mp4 file? If so and you don’t have the codec for mp4 (which WMP by default does not) then try playing it in a player that can display mp4. Windows Media Player Classic will do this and is free to download. Just search for it.
I paid $16 for this pen with free shipping. For that price I’m impressed by the quality of the audio and video. It’s a neat little gadget to goof around with until I get bored of it.