Depends how you are playing the file - if you are using something like Process.Start() to launch media player and pass it the file location then you could use the username and password arguments of that method to make it use valid credentials.
Another way would be to run the Net Use command (via Shell or Process.Start) and specify the directory location and username/password in there but thats far from ideal as you are having to rely on an external program then.

Of course the real solution is to grant the users access to the file via NTFS permissions or Sharing permissions (so that they dont need to enter a username and password) OR move the file to a location where the users already have access.