Ha. I spent a LOT of time finding out about this. It seems such an obvious thing to include a video clip with a sound clip for live performance and you want it all to go in time, so one person can effectively do the audio and the visuals at the same time.
As such, its not included

It would be awesome and it would have saved me a lot of bucks as now I bought modul8, and my brother makes the music whilst I VJ.
I tried the demo of JAM 2 (which is a plugin for Live that should have let me do the video thing within Ableton Live) but no luck with that. Sigh.
So for the meantime, two separate computers, one doing visuals, one doing music. Video integration into Live would be so much simpler and synch tighter - just put a video clip in a vertical column and launch a whole row, it would also be quantized so that it would speed up and slow down according to master BPM change, or attach a video clip to an audio clip so it launches simultaneously.