Under your EU3 directory there should be a folder named "movies". In later versions of the game the movies folder is empty.
The files are likely AVI files in Bink Player format. The player is the binkplay.exe in the Movies directory.
Making the Game skip the start up movies
To make the game not play the movies at startup, change the name of the movies folder to another name. "NoMovies" has been tested to work. No startup movies, just load the game. Deleting the folder also works with Patch 1.3