Well, the problem is that I put this code in the function main():

function main()
{
var a;
media_play("movie.avi",null,100);
a = media_handle;
while(1)
{
if ((media_playing(a)==0) || (key_space == 1))
{
media_stop(a);
break;
}
wait(1);
}
Intialise();
GameLoop();
}

The game just skip the movie. And if I have similar code playing so other movie later, it either don't play or play but no visual appear, only sound is play. After that the next movies play as normal.

I did a workaround by playing a blank avi at the beginning and put the avi code in another function rather than the function main().

Strange, isn't it?