Lumen itself lacks a video player internally, but you can process video files by playing them into Lumen using any Syphon-enabled software. VDMX has a non-watermarked free trials that you can use to play videos over Syphon.
Once you have your Syphon-enabled video player running with your video playing you'll be able to choose that Syphon stream as an input in Lumen. You'll choose it using the same dropdown where you normally select a webcam. Note that in order to see the input in Lumen's output you should make sure you've loaded a patch that uses input -- "Camera Passthrough" is a preset designed specifically for testing input.
All of this works in Lumen's free demo version, so feel free to try it out!