Video and Game at same time

What I'm looking to do... Play Oblivion and play a video in windows media player or vlc player..at the same time. Can this be done? When I lauch oblivion, the picture turns black on the video..still plays, get sound, etc. just no video.

System:
I7 920 on ASRock x58 extreme motherboard
evga gtx260 video card
Corsair triple channel 6gb
etc etc.

I tried using my old ati x1600 pro video card and split 2 monitors off the gtx260 and my tv on the 1600 and still no luck. I used to play movies through the xbox360 unit with no problems while playing but toasted the xbox. Is there any way to do it through just the computer. Thanks