So in short, the Media Player can be looked at as the framework or tool in which to play your Media Source files. These Media Source files need to be called to ‘Open’ in order to preview them within your Media Player itself.
In your case, all you should have to do is right-click and open the Media Source in question that you wish to preview, and since you have the ‘Play on Open’ option checked, it should automatically play in your Texture Sample preview.
Let me know if you have further questions or need additional assistance.
Cheers,