Step 1: Get a sketch playing a video.
http://processing.org/reference/libraries/video/Movie.html

Step 2: Learn about the keyPressed() function.
http://processing.org/reference/keyPressed_.html

Step 3: Get a sketch playing a video, they have it swap to a different video when you press a key.
http://processing.org/reference/boolean.html

Step 4: Generalize your two-movie sketch to an array of movies.

http://processing.org/reference/Array.html

Without knowing where you are in this process, it is very hard to help you further.

Posting some code showing us what you currently have would help.