You need to allow Unknown sources in the "Applications" Settings menu.
Guess I shouldn't be surprised, especially now that I recall it was already mentioned a while ago to be the case, but I was still bummed to see this...
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Don't be an idiot like me, and purchase a movie if you're rooted.
When you choose to play the video from the Market app, if you don't have the appropriate Video app, it will prompt you to install it.Do you have to install in app to play the videos?