I've tried everything and still can't get it working. An adobe rep was on the phone with me. He created his own small test file and imported one of my videos. The tabbing worked. In fact, the focus starts inside the presentation window and doesn't move out of it into the IE menu/navigation area.
I looked at all my settings compared to his settings and made everything - publish settings, skin - the same. When I publish mine, the focus is in the IE menu/navigation area. On screens without a video, once I keep pressing Tab, it eventually ends up inside the presentation area and tabs to the buttons, then to the playbar at the bottom. However, where there's a video, it won't leave the IE area until the video is complete, so it won't tab to any buttons or playbar.
I thought it might be the specific video or the way I had imported it on that slide. So I added a slide with another video. Still the same problem. 
Mayank08, I would like to upload the file to Adobe and have you look at it, but I need directions.