Unfortunately no, this is not a feature of SDL (and therefore not a feature of Lispbuilder).
If you want to do this anyway, this is how I would do it. There are basically two steps:
1. Decode the video file into a series of frames (images). This step is hard because popular codecs are typically large, proprietary binary blobs that are not especially amenable to integrating into Lisp. Maybe this would be easier with open source codecs, but you are still on your own with respect to writing Lisp bindings for them.
2. Take the frames one at a time, stuff them into a surface, and blit the surface onto the display. If you want to use OpenGL then stuff the frames into a texture instead and render the texture on the screen. This step is fairly easy.