You could probably use their Moogaloop API to accomplish what you want. Though after having a quick look at their API it doesn't look like you would be able to simply send a JS command to the player to load a new video.
The simplest way to accomplish this would be simply to embed the video using the ID (and other parameters) of the new video you want to load using SWFObject. (So, click on a thumb that might have a rel or data attribute that you can use to store the video details, then re-embed the player using SWFObject.)
The downside is that you're re-embedding the player every time. A much nicer implementation would be if you have a custom (or just a different) player that allows you to control with JS all aspects of the videoplaying (i.e starting/stopping/setting video source, etc.), something like [JW player (and maybe even the [URL="http://www.osmf.org/strobe_mediaplayback.html"]Strobe player](http://www.longtailvideo.com/players/)) could be a nice way to implement it.