The formats that are supported by default by DirectShow are listed here: https://docs.microsoft.com/en-us/win...-in-directshow
For other formats you need to install specific codecs.
In the example you posted, the MP4 file uses the H.264 codec, that is in theory supported by default. Do you have problems with this file?
BTW in your example there is a mistake in your filename, it should be AppPath$ instead of AppDir$ (as AppDir$ doesn't contain the drive name), and "video.mp4" instead of "\video.mp4" (as AppPaths$ ends with a '\').