If you downloaded the movie in iTunes on your computer you have to "Move" the rental to the iPad. Copied from another thread ....
To transfer a rented movie from iTunes, use the movies pane in iTunes. Rented movies transfer is at the top. You must have an Internet connection to transfer a rented movie. Select the "move" arrow in the direction you wish to transfer, and click the apply button at the bottom right. Rented movies can only exist on one device at a time, they do not sync like other video, but move from iTunes to the iPad.
Movies will play in the videos app.