Ok... Assuming you are using Windows 7 or Windows Vista.
Open up My Computer.
Open your C drive
Open the Users folder
Open the folder with your username
Now. If you do not see an AppData folder, you need to unhide hidden files folders and drives. To do this, in that folder where I said AppData should be, hit the alt key on your keyboard. This brings up the File, Edit, View, Tools, and Help menu's (right under the address bar). Click Tools and choose Folder Options. Then go to the View tab. Next, under 'hidden files and folders' click the radio button that says "Show hidden files, folders and drives". Click ok.
Now open up AppData.
Open up Roaming.
Open Opera.
Open Opera. (yes, an Opera folder inside an Opera folder).
This is where you place that urlfilter.ini that you should download from
here.
Now, when you open up Opera, it loads that (in the background) and ads are blocked.
Then you can do what I said above with going to your problematic page, right clicking, choosing block content, select details, and it will show you a list of what is blocked on that page. From there, you may be able to make an educated guess on what is being blocked that is preventing the video from working.