The same thing happens to me too, and I don't think there's a setting for it in the computer. It is probably something in our drivers (do you have an Nvidia card?).
My best recommendation is to close the lid, and then start the movie. If you want to open or close your laptop, just pause the movie, open or close, and then move the movie to the correct monitor.
You could also set your TV as the primary monitor, if you wanted to... Right-click the desktop and click Screen Resolution and then set the TV as your primary monitor. But seeing as you probably want your laptop to be your primary monitor, I think you'll just have to deal with the switch.
Most people at my workplace also operate with their laptop closed, because they don't like dual screens or the standalone LCD monitor is larger/clear than their laptop (and their aged eyes can't take the constant transitioning). So it appears that Windows, or the driver or whatever, is catering to the majority of people like them, who expect to sit down and use the computer on the external monitor with their laptop closed under their desk, but then when they go to a meeting, they want to just pick up their laptop, open it up, and continue what they were doing. It sounds perfect for them at least.
Okay, it seems presentation mode does it. Though it probably leaves the screen on when you close it? (I'm not with my second monitor so I can't test it out)
Easiest way to activate presentation mode is to search (using the Windows 7 start menu search bar) for presentation and choose the first option, then check "I am currently giving a presentation" and click okay. When done, right-click the presentation icon in the system tray and click Stop presentation.