Looping Videos

Windows Media Player is a player; you will have a hard time creating anything with it. To create a video, you need a camcorder or a similar device. For video editing, there are plenty of software options, but that’s unrelated to your question.
To play on loop, just click on the loop button of the player... period.

“I would like to install videos on loop that will be on a USB stick. How do I do that?”
Install? That’s for a software that needs installation; otherwise, you can copy the file if necessary. Don’t confuse the player and the content to be played as you seem to be doing. A video file is simply the video, a video player is the device that allows you to play... videos.
If you are thinking about autorun (although it is not specified), you can look into that direction, but with no guarantees (since you will still need a player, and for safety reasons, any file forcing execution can be blocked, and rightly so):

https://www.commentcamarche.net/faq/12609-creer-un-fichier-autorun-inf

Hello, I proposed VLC but with Windows Media Player as the default you can also get there you need to click on stream, click on allow
open your video folder, select the files, open

"Donkeys change their minds, not fools"
remember to mark your message as "resolved" if that's the case.

Hello, a solution with VLC: in the media menu at the top left, open a playlist, go fetch these files, okay, and don't forget to check the second to last button at the bottom right, "loop media"

--
"Donkeys change their minds, not idiots"
please remember to mark your message as "resolved" if that's the case.