about a background video?
Ah. Sorry. You have no background video - just a still menu with the animated buttons.
Select the menu; on the motion tab in the menu properties, you checked the animate buttons box to create motion in the menu (when rendered). You could also add a movie that will play in the background instead of the still background you have now. You add such a movie (generally an m2v file) using the video box a few lines above the animate buttons box.
Things like titles, buttons, text in buttons, etc is on top of the motion background.
You can manually create the video thumbnails by editing such a background movie and scalng down your timeline videos to put the little thumbnail clip in. When you do it manually, you can add video from anywhere, not just the timeline a button is linked to.
Still not very well explained, but maybe a bit clearer.