Can i play video ingame?

I want to play some video movie at my game, but do not know how to do that.
It will be like at Half-Life2 - movie of President at station.

Can i do that with UE4?
Is yes- please, give me some links to docs,or anything else.

Thank you!

One way is to make video materials: Unreal Engine 4 Tutorial - Video Textures - YouTube

@Crafty - and can i load it at game? I measn- change movies,play,stop it via Player?Thank you for this video!