I'm creating a game in Java and in the game there will be short videos played in between the levels and I need to know what classes to look at if I'm going to load, adjust volume, play and terminate the video. Also the way I have the program running is by extending JFrame and drawing everything on the spot. Will this be an issue when using video? Also will I need the video to be in a particular format.

You'll probably want to use canvas and double buffering techniques if you're making a game. What format will your videos be in?