Insert | Movie | From File. Select "play automatically" in the dialog box.

Then, on the Animations tab, choose Custom Animation to open the Custom
Animation pane.

There will be a "play" movie action animation and a trigger animation in the
pane already. These get set when you click the "play automatically" option
when you insert the movie.

Select the movie on the slide and choose Add Effect | Entrance | Fly In.
Then in the pane, click that animation effect you just added and drag it to
the top of the list of animations in the pane -- so it's on top of the play
movie action animation. (If it's not automatically placed on top. Here it
gets added between the play movie action and the trigger animation, though.)

At the very top of the pane, choose to start "with previous" if you want the
movie to fly in automatically. Leave it "on click" if you want to click the
mouse to make it fly in. Also change the Direction to "from left."

Now, select the movie on the slide -- as opposed to selecting an animation
in the pane (see
http://www.echosvoice.com/changeanimation.htm#addingvschanging for
screenshots) -- and choose Add Effect again. This time it's Add Effect |
Exit | Fly Out.

It should appear between the play movie action animation and the trigger
animation. That's okay. Think of the trigger as kind of a stand-alone type
of thing. It just gives you the option to click on the movie to pause it
while it's playing. It's just kind of handy to have, but you can select the
trigger animation in the custom animation pane and delete it if you want.
You need the play movie action for the movie to actually play, though.*

Change the setting for the exit animation to Start "after previous" and the
Direction to "to right."

*You can set a play movie action on your own by selecting the movie, and in
the animation pane choosing Add Effect | Movie Actions | Play. PPT just does
this for you (and adds a trigger animation setting as described) when you
Insert | Movie | From File and choose one of the options. So if you delete
the play movie action animation, this is how you can add it back. The
trigger is a little more complicated, so I won't go into that part here.