Here are only a few downloadable video clips I managed to find on the net while surfing.

Devil's Trill (RealVideo) - 0:30
This has been said to be the best ever music video of Vanessa-Mae. She is standing playing her violin with fire and passion while snow and blizzard is taking place. Very stylistic and contemporary.

Happy Valley at the 1997 Re-unification concert (AVI) - 0:22
Vanessa-Mae composed Happy Valley for the 1997 Re-unification of Hong Kong and China which eventually was one of the 'signature' songs of the event.

Other Clips
I Feel Love
Storm Over Soweto
Feel The Passion of Vanessa-Mae
Vanessa speaks about her music
Vanessa-Mae's Thoughts (7 RealVideo)
The Power Of C at the Launch of the Mercedes-Benz C-Class (Vanessa-Mae's appearance starts at 28:30)