You will need to use a plugin for this. The code looks a bit like this;

<embed src="video_file_name_here.wmv" width="385" height="294"></embed>

Place this between the body tags on your webpage.

As for video formats, in the above example I have used WMV (windows media video), I dont really no much about video formats, but it depends really on what sort of quality and file size you would like, you will need to find a happy medium between quality and file size. It also depends what operating system you are using, if your not using Windows then you would not want to use WMV, however as a precaution I would use WMV if you can, becuase most operating systems have media players that can handle this format these days.
Other formats include AVI and MPEG, but these usually mean large file size, which you do not want because it will take a lot of webspace and also a long time to load on slow internet connections.

Feel free to get back to me via email if you require any further assistance.

I hope this helps