The site doesn't work with all video capable phones yet. MSN is only offering videos to devices that they have tested and verified compatibility with. For now you may see the the message "We currently do not support Video on your device" and be unable to watch the videos. Testing is proceeding rapidly and MSN's goal is to eventually support 90% of video capable 3G phones world wide.
The MSN Mobile video site is one of the better ones in terms of variety and quality of videos and ease of use. There's timely coverage from NBC and MSNBC News and ABC Sports along with all sorts of entertainment clips and user generated and viral content for sources like StupidVideos.com. The NBC clips include Nighty News items and interviews from Meet the Press.