Looking at the source of the module, it sets: $self->{play} = 0; in new().

And it issues the warning you are seeing from ->length() in line 58:

warn 'No File Loaded' if($self->{play}==0);
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and ->volume() in line 44:

warn 'No File Loaded' if($self->{play}==0);
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But ->load(), successful or not, doesn't set that variable:

sub load {
my $self = shift;
my $file = shift;
$result = doMM("open \"$file\" type mpegvideo alias ".$self->{alias});
return $result;
}
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Only ->play() does:

sub play {
my $self = shift;
my $pos = shift || $self->{pos};
$self->{play} = 1;
$result = doMM("play ".$self->{alias}." from $pos");
return $result;
}
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And it sets it regardless of whether the attempt to play the file was successful or not.

This doesn't help you fix your program, but it -- along with the lack of indentation and other clues in the source code; the age of the bug reports on RT; -- may give you an indication of the quality of this module and your chances of solving the problem.