I solved the issue. It turns out that the file in question was located on CD2 instead of CD3 (The game shipped with 3 CDs total). Seems kinda backwards to me, and the fact that the installation didn't copy over ALL the movie files when I chose custom install is BEYOND me..Which CD compilation is this? It'll help to know to aid other users to avoid this problem.
It is the compilation Baldur's Gate: The Original Saga