The playback control bar has three boxes with numbers in them. The first is the Current frame, and the next two set the range of the scene. There's a Loop button between those two boxes, and when it's pressed down, the scene will loop between those two frame numbers.
And, I suspect you haven't changed the number of frames in the little upper right hand white window that lists the default # of frames for the video. Change it to the number of frames in the video you want to which you want to add effects.