Normally to embed a video, I'm guessing it's in Flash format, you first upload it to your server somewhere then embed this code:
Code:
<object classid="clsid:D27CDB6E-AE6D-11cf-96B8-444553540000" codebase="http://download.macromedia.com/pub/shockwave/cabs/flash/swflash.cab#version=8,0,0,0"
width="550" height="225">
<param name="movie" value="http://www.FILELOCATION/FILENAME.swf" />
<param name="quality" value="high" />
<param name="menu" value="true" />
<EMBED src="http://www.FILELOCATION/FILENAME.swf" quality="high" bgcolor="#FFFFFF" WIDTH="550" HEIGHT="225" NAME="yourmovie" ALIGN="" TYPE="application/x-shockwave-flash" PLUGINSPAGE="http://www.macromedia.com/go/getflashplayer">
</object>
You need to edit the file width and height, etc. but this is fairly standard.
WP can do a lot of the work for you by using the embed media function, or use one of the Flash plugins, like Bubblecast, to do the hard work for you