I'll try to shed some light on this for you, because it took me awhile to get used to how WME handles things. And even now, I'm not completely sure, but it's a much more powerful system than AGS. It seems that WME tries to be more obtuse than AGS...where AGS might have a function Game.shakeScreen(), WME will provide the lower-level abilities to make your own shakeScreen() function. Overall, this makes for much more possibility.
Some thoughts:
1) The directory tree in the editor is simply a reflection of the folders in your project root directory. So, if you have your project "GreatGame" in the projects folder, the directory tree will display the folders in "GreatGame". The reason I tell you this seemingly obvious point is because it is best to take the example template game and just reorganize the directories into something you understand to build your game around. For my project, I renamed the directories to: actors, entities, fonts, interface, items, scenes, scripts, sprites. Not only does this make it easier to wrap your head around where all the resources are, but it also helps to keep your raw assets organized (if that makes sense).
2) Regard everything in WME as an object, which is just a bit different from AGS. The "Game" object is the main sort of overarching object that encompasses everything else, but every entity in your scenes is an object, and can have it's own script (which for me, goes in the "[sceneName]/scr" folder). For example, if I have an object in my scene called "MovieScreen", I can have a file in the "scr" directory of my scene directory called "MovieScreen.script", where you do things that apply to the movie screen.
3) What you seem to be confused about is putting movies in scenes...you can't just put a movie entity in the scene for it to play; you have to do it through a script. Because the "Game" object encapsulates everything, if you run "Game.PlayTheora();" it will play over everything. If you used the command "this.PlayTheora();" in "MovieScreen.script", for example, "this" would refer to the MovieScreen object and the video would play at the position of the MovieScreen object in the scene. When they say "Run the video from a script", it means you'll have to program a bit.
4) A big hurdle for me was understanding events when I first started using WME. There is a chain that events go through to reach your scene scripts that is as follows:
User ---> Game.script ---> [Objects]
If you open "Game.script", you'll see something similar to this somewhere:
on "LeftClick"
{
// what did we click?
var ActObj = Game.ActiveObject;
//if we clicked on a scene object...
if(ActObj != null)
{
ActObj.ApplyEvent("LeftClick");
}
// else propagate the LeftClick event to a scene
else
{
Scene.ApplyEvent("LeftClick");
}
}
Basically, when there is a left click, this event is called, which gets the object that was clicked and applies the even to that object, unless no object was clicked, in which case it just sends an even to the scene. Generally, this is "LeftClick", but you can call it anything you want, which is the power behind events. You can put ActObj.ApplyEvent("foo"); in the above clause and then have a "on "foo"" block in your object code to do whatever you want. For example, my code for this section checks what cursor the player is using to pick between applying Look, Interact, Talk, and Walk events. You could do anything with this.
...so, I hope some of that was helpful. I still have trouble understanding some things, but this is how I explain it to myself, and it seems to make sense. Of course, if anything about is just flat out wrong or too confusing, I invite a moderator to delete this or modify it. But I hope it sheds some light on how things work.