I set times aside during the day that they can watch a movie, or NIck Jr - its usually a time that i need something done, or i myself need some R&R.
These two times a day are usually around 10am for 30 mins or so, then 5pm after their bath when i need to prepare dinner.
They know (4yrs, 2 yrs) that tv is on at this time, and they know its not being put on for them at any other time. I think routine is the key....

PS; its soooo easy to put another dvd on. I know, believe me, ive done it. But they do get used to just sitting and watching, and then they expect it. If they did it yesterday, why cant they do it today. Break that habit. Stick to your guns. After a couple of days they will get the hint.....