I assume you mean the video's that are displayed when you open the video app and not your own? As your probably aware these are nothing more than links really and so thats perhaps why you cannot find them on your machine. If you would rather just see your video's displayed then open the video app, place the cursor in the top right or bottom right of your screen and click settings from the revealed charms. If you click 'preferences' you'll see this:
I've arrowed the setting you need to change. Once done, you will only see your own collection when opening the app.