VideoView has a hidden method that allows you to configure HTTP headers. You can use reflection to access it. But this will only help if the server supports basic authentication.
Method setVideoURIMethod = videoView.getClass().getMethod("setVideoURI", Uri.class, Map.class);
Map<String, String> params = new HashMap<String, String>(1);
final String cred = login + ":" + pwd;
final String auth = "Basic " + Base64.encodeBytes(cred.getBytes("UTF-8"));
params.put("Authorization", auth);
setVideoURIMethod.invoke(videoView, uri, params);
Of course, since this is an undocumented API, it is not guaranteed to work correctly, you must handle exceptions and have a backup plan.