For anyone else with this problem, perform the following.
Click on the last frame in the timeline (near the top) and then along the bottom, expand the Actions pane (if not already expanded).
Then within there click on the little icon to the left of "Actions" and then within that click on the little icon to the left of "Movie Control" and then double click on the "Stop" action. This will tell the movie at this frame.
Can be placed at any location.