Assuming that you have the video recorded on your own harddisk.

And also assuming that your website is on a hosted server.

Using an html editor like "Front Page" (for example) just insert a link to the video filename at the place where you want the video to appear on your webpage,

NOTE:
Make sure that the link is just to the filename of the video itself, not its location in your computer.
not "C:/-/-/filename.xxx"
just "filename.xxx"

and then,

upload:
the corrected webpage
and
a copy of the video file
to the same directory of your website server.

Before uploading:
Make sure it all works on your own computer.

After uploading:

Make sure it still works.

Some hosting sites automatically limit the size of filenames, and this will cause the link not to work if the filename listed in the link is not identical to the new "abbreviated" filename. (even capitals count)

So if a link that worked on your computer doesn't work after uploading, check to see that the filenames of the link and the video are still identical.
--------------------

To make a link on your webpage to a video that is actually on another site, just go to that site, right-click on the link to the video then click on file/properties and copy the url for the video to your notepad,

then,

Using an html editor, insert a link to the url of the video where you want the video to appear on your webpage.

Be aware that this link will stop working if the other site discontinues, moves, or renames the video.

So it's much better to copy the video file to your own computer and then upload a copy of it to your own server (if possible and legal).