Q. How do I cite a video which I found in the Films on Demand database?

Films on Demand, fortunately, provides a "Citation" button in the database below each video.  As of Jan 20012, they include suggested citations for MLA and Chicago style.  For example, clicking the "Citation" button below the video, Nomads: Salt Caravans in the Niger, will provide you with the following MLA citation:

Nomads: Salt Caravans in the Niger. Films Media Group, 2008. Films On Demand. Web. 31 January 2012. <http://digital.films.com/PortalPlaylists.aspx?aid=8049&xtid=44867>.

This citation is correct according to MLA 7th edition.  Although the MLA style manual says that the URL is optional, your professor may ask you to include it.