Android apps can store their files in storage locations reserved for the app (internal storage), or publicly accessible folders (external storage). This is described in detail in
Handling Input and Storage on Android[
^]. Windows applications store files in any directory they like.
If the videos are playable by the default applications on either device then they must be in a common standard format. However, if they are played by some special app then they could be encoded, it is difficult to know how without details of the app.