How to have video player on site?

Hi guys
I'm creating a website. I want to have a few (self-made) videos on there. I don't want to upload them to YouTube, and then embed them on to my site, because I want to make money off of them through banner ads next to them, and YouTube frowns upon/doesn't allow this.

My question is, how do I get the video player onto the site? For example, if I have a video file in the 'My Documents' of my computer, how do I get the video file "into" a video player, and then have that video player show up on the site. I understand that this may be too general a question, but if anything, I'm just looking to be pointed in the right directino so I can learn about this (because I'm not sure where to look at the moment).

I want to search for things that can help me learn on Google, but I don't know what terms I should use for this.

Thanks for any and all help!:D

Hello Clayton91,
I was, still am, a total newb when it comes to video too. This site helped me put a .flv on a site I did a while back - http://www.w3schools.com/media/media_browservideos.asp

Have you looked into a service like Vimeo (http://www.vimeo.com) as an alternate to YouTube?