If you mean the 'Guardian Angel' FMV; it was only put in the PS version of AO. To see it, you must either rescue all 99 muds or use the movie viewer cheat. Alternatively, you might be able to find the SW bonus DVD, which has all the films of Oddworld.
That said, you shouldn't have revived such an old thread to ask something that was off-topic. You could have found the answer by searching the forums or just asking in the Q&A thread.
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Spending as long as I do here, it's easy to forget that Oddworld has actual fans.
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