No, you need to move the movie files from every CD into a folder, and go into the registry and tell it where they are.
First you need to copy the files from the discs to your hard drive. i usually put it in the main FF7 directory in a folder called "Movies" and for the sake of this guide i will give the file path saying it is there. Next you need to to click on start and run (or just the search bar in Vista)
Then type regedit
navigate to HKEY_LOCAL_MACHINE > SOFTWARE > squaresoft, inc. > Final Fantasy VII (just click, don't expand)
under movie path you change it to the directory where your movies are. for this guide it is
C:\Program Files\Square Soft, Inc\Final Fantasy VII\Movies\
NOTE: the final \ at the end, it is required, or it will not work!After that copy over Grimmy's videos into the movie folder and you're good to go