I guess some girls, or most girls, are just nosey. Who knows, why she'd even want to watch that DVD. I suggest, you tell her, you looked for it, but couldn't find it, or had erased it. Either on purpose or accidentally, when you were loading up some other video.
She has no reason to see it, and no right either. So make up some excuse or just tell her, you aren't comfortable, letting her see it.