This is a question thats asked quite often and here is your answer:

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String Intro_vid = <Intro.AVI>;
String Intro = <Intro.WMB>;

Function Main()
{
wait(1);
media_play(intro_vid,null,100);
while(media_playing(media_handle)) { if(key_space) { media_stop(media_handle); } wait(1); }
wait(1);
level_load(Intro);
wait(1);
}

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You must have Commercial or Professional version I do believe for this particular script to work, not sure exactly but it works for sure.