Do you have Flash Professional? What format is your video in or can you export it to, if possible you want FLV.
If you have Flash an easy way to do it is convert your video to an FLV format. Flash then has some FLV Playback and Media components. You basically will just tell Flash were the video is.
You can also create a custom player using Flash's VideoPlayback Class, this will require some programming and understand of Actionscript.
One way or another user will have to download the video, using Flash it will directly load onto the webpage rather than an external player.
The first place you could check into is http://www.macromedia.com
and do a search for Flash video. You can also check out http://www.actionscript.org