No, you cannot use screen-sharing to watch a video together because the student will not be able to hear the audio.

There are two ways to watch a video in class:

A: Send the student the link to the video in the chat and ask them to watch it in their browser.

B: Use a service like ManyCam.

Alternatively, your student could watch the video as a homework activity and then explain it to you in the following session as a speaking activity.