I let you follow this tutorial : Play a Video File | Unreal Engine Documentation, it’s well done and fast.
Once you’ve succeded in playing video files in your game, you have to communicate between your UI button and the mediaplayer. Create an event dispatcher on your widget blueprint, and bind an custom event in your level blueprint to this dispatcher. This custom event has to launch the video (open source from the mediaplayer). (Event Dispatchers | Unreal Engine Documentation and Event Dispatchers explained - Finally! - Blueprint Visual Scripting - Unreal Engine Forums arer good starts)
When the event will be fired (using the click event of your widget button), the custom event assigned in the level blueprint will launch the video.
No time for me to make screenshots but let me know if you need some.