Ok, so I found the menu I had made and checked how I did it. It is not too difficult actually.

1. First, I put the video I wanted at the beginning (right click + insert media… you may have to move the file in the tree folder with your mouse). Before that, in Vegas, I cut out the part of my video that I want to loop, which I will add next. Then, go to “End Action” and make your destination the “Menu” if it is not that already.

2. I double-click on the menu folder and go into “Background Media” then insert the video that will loop.
I hope you understand. That was the way I solved my problem.

3. Go to “End Action” and make sure it is set to “Loop”.