http://forums.steampowered.com/forums/showthread.php?t=2818712&page=2
1) Locate (use "Search") the file named "regsvr32.exe". It is located in the Windows SYSTEM directory (if 9x/ME) or SYSTEM32 (if 2000/XP/7). Copy it to your Thief installation.
2) Create a text document named "RegIndeo.bat" and copy/paste the following text:
regsvr32.exe /s LGVID.AX
3) Save it (The file extension must be .bat)
Simply double-click on the file when your movies don't play.
Note: it is not needed to repeat the operation in all your installed Thief/Gold/II, simply use one of them. The "registration" process will fix the problems in all installed Thief games present.
*In addition, please note: the /s parameter mentioned above suppresses any confirmation or error messages so if you want to make sure it is working do not add the /s*
A third option if the above have failed (Solution 3):
1) Press Start
2) Press Run
3) Type regsvr32 c:\your\path\to\Thief\LGVID.AX where "c:\your\path\to\Thief\" matches your own path.
4) You should get a message box pop up that says dllregisterserver in module c:\your\path\to\Thief\LGVID.AX succeeded.