I have had the same issue before, solved by this step:
Check your OpenCV python version
>>> from cv2 import __version__
>>> __version__
'2.4.0'
Then Copy your opencv_ffmpeg.dll
to C:\Python27\
and rename it to relevant your OpenCV Python Version. In my case I had to rename it to opencv_ffmpeg240.dll
.
Update: On Windows, you can find the opencv_ffmpeg DLL inside of the build folder of your OpenCV installation. For example: C:\dev\opencv\build\x86\vc12\bin
Then, just copy and paste the opencv_ffmpeg<version>.dll
file into the root folder of your Python installation.