1 Create your view, add the fields you'd like displayed.
2 On the "Content: Video" field settings, choose the "preview" option under formatter - this displays the thumbnail.
3 Add the "Content: Path" field to your view
4 Uncheck the settings for label, check the box for "exclude from display"
5 Click on rewrite results and select "Use Absolute Link"
6 Next you'll need to reorder your fields so that "Content: Path" is above "Content: Video".
7 Edit your Content: Video settings.
8 Go to rewrite results and check "Output This Field as a Link".
9 Put [path] as the link path.
10 Save it.
You are done.