Like instead of a game scene a avi or something on screen befoure fading it out and play the actual game?

There's http://www.creationkit.com/PlayBink_-_Game if you can muster a .BIK cutscene.

For making .BIK files, if you need some help, you can try asking Illuminiel on this forum. She made some videos for her Morrowind mod so she knows how to mess with .BIK files.

http://www.radgametools.com/bnkdown.htm is a free tool to convert .wmv and .avi files to bink file.

thanks but how will it be displayed? full screen ? needs a certain res?

There are parameters for some of that. Let's say you make a video that's 720p, or 720x1280, or 16:9. If you turn Letterboxing on, and the viewer has a 16:10 monitor (Which most do), there will be black bars on the top of and bottom of the screen while the video plays, to make up for the height ratio difference. But if you turn letterboxing off, it expands it (Equally horizontally and vertically) so there are no bars, but the sides of the video would be cut off.