I've got this too... I'm not sure what causes it, or what SH4 uses to play the intro movies, but I also had the same problem with some of the downloadable movies that were on the official SH4 site. I've tried updating the various codecs/media software, display drivers etc. on my machine to rectify it, but to no avail. Everything else seems to be fine.
Has anyone managed to fix this problem?
Am I just being really stupid?