You need the video file to be something like an Mpeg (viewed easily by windows media player) or a Flash file (this is more compressed, and can be set up so if the viewer doesn't have Flash player, he can download it free)
These files then need to be uploaded to a server just as Manos said, then a simple URL link to it.
Alternatively, you can embed a flash link into a post which will play the video as soon as you open the page/post, the default setting for flash loops the vid, so until you close the page, it keeps playing.
have a look at this
It's 5 meg, so will take a while to load, it's living on one of my other web sites, with a link from BM
or try this one