Is it an Animation or a video? To insert an animation (like animated GIF or OAM) use Media, Animation or Media, HTLM animation depending on the kind of animation.
If you talk about a video (like mp4) you can insert it in two ways. Probably you inserted it as an Event video, which means that it has an individual control panel and can be played totally independent of Captivate. A Pause will not affect that video if it has started playing, to pause it you have to use the pause button in that control panel.
If you want the video to play automatically, you have to inset it as a multi-synchronized video, either on one slide or spread over multiple slides, that is up to you. Now the control is given to Captivate, when you enter a slide with such a video it will play automatically unless you pause the slide with the On Enter event.