Video file streaming

First you need to tell us what you did until now. What type of video you have now and ...

But about your question you need to convert images or video source to an acceptable video format. Using FFMPEG or something like that.
But if you have video file in an acceptable format already you can ignore above line
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Then you need to send data to client(s). For doing so you need to learn socket programming or you need to use a library. Two famous streaming protocols are:
http://en.wikipedia.org/wiki/Microsoft_Media_Services
http://en.wikipedia.org/wiki/Real_Time_Messaging_Protocol

These links may help you for implementing RTMP in your app:
http://www.live555.com/liveMedia/
Managed Media Aggregation using Rtsp and Rtp
http://net7mma.codeplex.com/
http://www.streamcoders.com/

Or you can write your own protocol completely from ground and actually I recommend it because it is easier to learn socket programming then using MMS or RTMP :)

Then in your client app you need to render video. You can use a user control or you can use Direct2D to show video to user. But this is an other topic.