Just touch the Back button repeatedly until you are in the file explorer part and out of the video part.

Welcome to the world of Android. It sucks! To be honest, even Amazon Prime Videos look and play much better on my iPad3 than they do on my Fire HD. If my Fire HD wasn't the perfect size for reading and if it didn't have a terrific screen for reading, it would have been sent back on day 1. Reading is about the only thing it does well.