As Erik implied, it's a player thing. As long as your player supports looping playback, it doesn't matter where the video is stored.
If you need an AUTOMATIC looping playback, e.g. the user inserts a USB stick and the video starts playing back automatically in a loop, with little or no user input - that's a bit more complex, and depends on the computer configuration: is the codec installed? Is auto-play enabled? What is the default player and does it support looping playback? This is why there is no simple solution: the behavior of a USB stick is unpredictable on any given computer, even if all you want to do is start a browser window.
This is also why a DVD programmed for looping playback is a better idea: its behavior is near-guaranteed on nearly any DVD player.
HTH.
Alex (
DV411)