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An MP4 is a type of file. Like you'd have a JPEG or a PNG or a GIF to open a picture, an MP4 would open a video. If you open an MP4, it'll play a video. So if you ask your files to be delivered this way, they'll probably give you a link where you can download and keep these MP4's. You could...

If they're video files, have them delivered as MP4's, no need for physical media at all.