Now, How do I open them as a video file? Like, an MP4?
Do you mean replays?
Replays aren't actually replays. They're just a bunch of input commands made by you and the computer (someone else can probably explain it much better than I can).
The only way to record it would be using a capture card or something similar to one.
There's probably a way to use Dolphin to do it, but I'm not sure.