The Hero has a built in player. Plug in your Hero to your PC, then mount the SD card. Open "My Computer" and you should see the drive listed as removable disk. I opened the removable disk, then I created a sub-folder under "DCIM" called "Movies" and dropped a .mp4 movie I have. I then launched "Albums". You should now see in the list, "All Videos", which you can now click on, which will then display a "thumbnail still" of your first movie.
Looks like you can scroll through this to access other movies as well, but I only have one loaded. The movie I have loaded played perfectly, full screen and there are other limited controls.