I've made a cool loopable video, but don't know how to turn it into a .scr file.

Windows SCR files are actually executables. Basically what you have to do is embed it into an application and make it loop.

What you could do for example is make a Unity project or something alike, make a video texture and run it in a loop.

Then export it as a Windows executable, change the file extension to SCR and that should do it!