Ok, deleting programs won't get rid of any downloaded videos as they aren't programs, they're files, so there's no need to go to control panel.
The clips you downloaded are probably being stored in your temporary files folder. What you need to do is follow this path:
My computer> C Drive> Documents and Settings> (Your username)> Local Settings> Temp
Then just delete all the files in that folder, and they'll be gone.
If you're still worried, go to Start menu, click on "Search" and do a search for picture music and video, but just select "video" then type in .mpg or .mpeg (if you're sure they were just mpg files) into the search bar and let it search your pc for all video clips. Then delete any offending clips.
Lastly, empty your cache/browsing history so he can't see what sites you've been looking at, then empty the recycle bin and you're done.
And next time your friend is over, look at ratearod.com as it's hilarious!