Heather, I've used ScreenSteps to give users quick context-sensitive training job aids via links in the sidebar and I know you can embed video into those pop-up PDFs too. Each link opens in a new window so the user can follow the steps "live." For example, you tell ScreenSteps which 3 or 4 lead articles you want to automatically appear as links in the sidebar when the user clicks on the Leads tab (such as "How do I convert a lead?"). There are different links that appear on the Account tab. There is also a search box in the sidebar to find links to other articles (as many as you want). Grabbing screen prints is effortless and you can add embedded video to walk them through the process.

Kathy's button idea would also work if the link is to just one video.

I've also seen a demo of "WalkMe" that is also context-sensitive and walks the users step-by-step through processes similar to a Captivate video (e.g. box around where you want the user to click). You could, of course, create a bunch of links to Vimeo or YouTube in Content but that would still require searching.