Everything can be done in a minute using the terminal.
I became root:
root
Then change to the directory where I want the file:
cd /ush/share/hildon-welcome/media/
Then download the file:
wget http://castus.dnsalias.com:8080/shar...id_lame_r3.avi
Then edit the config:
vi /etc/hildon-welcome.d/default.conf
And in there edit the filename to the video.
Then reboot to see your new video.
For this to work you need rootsh to become root only by typing "root", and wget to download the file through commandline.