That video module is probably using BrightCove.  They offer a full developers API to develop presentations like that.  They have a free version of sirts that includes advertising and you inculde the videos on DNN using the Text/HTML module and scripts provided by BrightCove.  I had to do this for http://www.ckgtv.com/ (click on one of the "New This Week" videos)

It it was my decision, I would have used Ultra Video Gallery which is a DNN module... actually a series of DNN modules.  Go to www.bizmodules.net.  Ultra Video Gallery looks to be made to emulate YouTube.  I am not sure if you can use it with YouTube videos, but it does integrate with Amazon S3.  If you are not married to YouTube for this project, Amazon S3 and Ultra Video Gallery would be a way to give you full control at a very low cost (S3 is incredible).

I have not found a module that does what you want but I looked about a year ago for one. I ended up using the DNN Core RSS module an a YouTube RSS feed and I kept it real simple.  My customers were happy with it so I did not have to go a great deal further.  The result was like this: http://marina.ca/Media/EdhuckMarineYouTubeFeed.aspx

What I wanted to try but never did was to modify my XSL file and use iFrames. I am not sure if it would have worked, but the concept I had was to put the player in a top iFrame and the RSS feed showing thumbnails underneath.  If I was any good at developing modules, I would have made this... but I am not.  If you want my XSL stylesheet... email me at mikegcox at gmail dot com