Thank you all for the suggestions. I'll answer each in one message for simplicity sake.
First, I made sure I did not install the media player that came with K-Lite Codecs. I picked the codecs and the "info tool" but nothing else. Also, I ran the DirectX updater and made sure I had the latest version (which I did). Finally, I right-clicked the Dream and picked Open With --> DreamTasks; but after all of that, the dream still runs in a window-mode that has the title "ActiveMovie Window".
I have an obvious problem with the MPEG2 codec this particular dream, because if I let the dream play until it's time to loop back to the beginning, the dream stops, does not loop and I get the following error:
"The dream may contain an invalid video type or a compatible MPEG-2 video decoder may not be present. Please visit here for more information: https://www.stardock.com/products/deskscapes/nocodec.asp".
If I view that dream twice in the same session, my entire desktop freezes which requires a log off/logon.
I followed the link and didn't find anything worth while, other than the codec tool that tells you which codecs you have installed: Here was what mine showed:

and finally, here's the information that pertains to the UFO dream (from the media info tool that came with K-Lite):
General
Complete name : C:\Documents and Settings\My Documents\Stardock\Dreams\UFO.Dream
Format : MPEG Video
Format version : Version 2
File size : 55.9 MiB
Duration : 1mn 16s
Overall bit rate : 6 121 Kbps
Video
Format : MPEG Video
Format version : Version 2
Format profile : High@High
Format settings, Matrix : Default
Duration : 1mn 16s
Bit rate mode : Variable
Bit rate : 5 872 Kbps
Nominal bit rate : 6 000 Kbps
Width : 1 440 pixels
Height : 1 080 pixels
Display aspect ratio : 4/3
Frame rate : 23.976 fps
Colorimetry : 4:2:0
Scan type : Progressive
Bits/(Pixel*Frame) : 0.157
Stream size : 53.6 MiB (96%)