When I I have my Laptop hooked up to the docking station, it has a 2 screen setup. The problem I am having is when I play a video on one screen, the other screen automatically full screens the video.

It does this with every media player, anyone know how I can fix this?

Hi Are you saying it appears on 1 screen in a window and on the other in full screen?

Ya, the media player will appear on one screen in windowed mode, and the other screen will be full screen

What's the model of the laptop and model of docking station?

Dell Latitude D820, Docking station Model # PR01X

Sounds like the monitors are just being mirrored to me, and the laptop can't do the higher res that the monitor can do.

Press FN+the multi monitor button (can be F8, F5, F6, F4 - changes between models and companies) and make it so the LCD and CRT are both selected.
Then go to your display properties > settings > and select the second monitor, and tick the extend check box.