My site has a lot of videos hosted on Vimeo, using the iframe embed code:
Example:

<iframe src="http://player.vimeo.com/video/76373912" width="480" height="295" frameborder="0"></iframe>


But they are not included in the xml generated file.
Which option should i change to include them?

Have you tried using the "video sitemap - videos hosted externally" preset?

For more information, see:
http://www.microsystools.com/products/sitemap-generator/help/video-xml-sitemaps/

Great, it works.

Another question:
I am also using the lightbox to display the Vimeo videos via the A tag
Example:
<a href="http://vimeo.com/74634711"><img src="http://www.rylandinnnj.com/wp-content/uploads/2013/09/craig-polignano.png"></a>

Are there any ways to include these videos to the xml generated?

Currently the answer is no.

However, if you can email your website address to
http://www.microsystools.com/home/contact.php

I will take a look and see if I can think of a solution / special handling for pure links to video sites (there's already special handling for "uses" of external pages containing videos)