I have solved this error! I forgot to include the activeX file into the additional files before compiling the whole thing, stupid mistake.
However, another issue arises now because I am using a pushbutton to load a .MAT file and another one to load that .AVI file. The problem is that if I do not include .MAT and .AVI files during the compiling, I hear the error bip signal when I load them from the .EXE file created. As these files are user dependent, I cannot include them during the compiling process!
Finally, if I do include 2 example files during the compiling process and try to play the video, it just does not work. My computer is an i7 4770K so power is not a limiting factor, but I have the impression that the app is just too slow (eventho it works fine from MATLAB directly).
Any idea?