Hi Sa Ku,
To me, it sounds like what you want is a 3rd party streaming video service provider.
Video served from a Moodle installation uses progressive download. This means that the entire video is downloaded into the user's browser cache and the user can view as much of the video as has been downloaded so far. This protocol is very easy to copy videos from. Additionally, progressive download from Moodle's file system is very demanding (Moodle's media serving is quite inefficient) and takes up a lot of memory. It's more efficient and less likely to overload your Moodle installation if you serve videos from outside of it.
A media server uses a different protocol (RTMP) and serves short sections of video as and when they're requested. The user never has the entire video in their browser cache. This protocol is more difficult to copy videos from but there are multiple browser plugins that will save video to the user's file system, thus creating a copy.
The most secure option is to use a media server and encryption, i.e. the sections of video are encrypted and temporarily decrypted during viewing. This often requires proprietary software installed on the user's computer/device, known as Digital Rights Management (DRM). This is the most difficult to copy but it's still not impossible: Visit any pirate video site and you'll find that everything's available as soon as it's been streamed/released.
So the question is, how willing and able your learners are to make copies of your videos? When you've decided, you can shop around for a media service that suits your needs.
I hope this helps.