As of 2020.12.5 you can view saved Dashcam and Sentry Mode footage directly on your Tesla screen.
Launch the viewer by tapping on the TeslaCam icon and then tap Launch Viewer.
You can also safely eject the drive from your car and use your computer or compatible device to view the footage. It works like any other USB Flash Drive you've used.
If you delete footage from the drive while reviewing, make sure you empty the trash on your computer with the drive connected.
It is recommended that you use VLC Player if you are having trouble getting the videos to play properly.