Rather than bothering with a save file, it's probably better to fix the bug which is causing it. However, there are a number of possible causes for this very common problem in the PC version of FFVII.
Often the problem is a simple case of the computer lacking a certain movie codec it needs to play the FMVs (a very old and now obsolete one called 'TrueMotion 2.0'.) It can be downloaded from here:
http://codec.alshow.co.kr/Page/en/true.htm
Also, try installing the official FFVII 1.02 patch from Eidos, which can be found here (It improves video card support and fixes a few other things too):
http://www.ff7-universe.com/Download.html
If after installing those patches it still won't work, another trick you could try is to run the FMVs off the hard drive (rather than the CDROM which it does by default). Apparently, this problem is often caused by a scratched or corrupted game disc - having the game read the movie file off the hard drive usually overcomes this problem.
However, to do so, involves a bit of messing around in your computer's registry which if you mess up you could do serious harm to your computer. You also have to copy all the movie files from all three FFVII discs into a folder in your FFVII installation on your computer. You still need the game discs to play the game, it's just the FMVs will run off your hard drive after doing this patch.
It's a pretty complicated process, but it's explained in detail in an FAQ found here:
http://www.ff7-universe.com/Downloads/FF7Movietweak.txt
Hopefully this has helped, and hasn't been too confusing for you. :)