Ajax is used to read any of the files stored within your game's directory and get back the data.
Ajax.lastdata will show you the file's content, so if you make a file called stuff.txt and write "more stuff" inside it, then request it with ajax you will get the string "more stuff" back.
You can access files that the C2 project uses or external files you imported yourself, and import data into your game, like a json or a txt file.
You don't need to fetch video files to play them, the video plugin can read the files stored under the files folder, just write the file name with the correct extension in the video plugin settings or in the load action.