Videos are stored with images in the same folder on the PC. Open your File Explorer then go to Pictures > "Name of your device" > CameraRoll
Once you have this folder open, the videos you've recorded will be everywhere. To see all your videos rearrange the folder to show you them. To do this drop down the icon that has a little down arrow, this contains different ways to view folder contents. Select "Details". This gives you all your photos/videos in a list. Now just Click the header that is labeled "Name". This will arrange all your photos and videos by file type because the phone names videos in a special way.
Now click "Name" again, and all your videos will be on top.
I do know you can set Zune to remove videos from your phone, but it will always place the video in this folder before deleting. Good luck.