if you use the embed tag and your file is either avi or wmv(avi files are huge in size) the result is an embedded media player with controls.
if you are considering streaming your video you better convert it to a .wmv file I think a coonvertor is avialable at microsoft.com as a free download, expertiment with various types of outputs, and choose the one you think best describes your target audience.(28.8/56/128/T1/T3/ etc) and convert the file to .wmv
i think you should also consider visitors who donot have the media player plug-in, what if they prefer real media or Quick Time (as most mac users will have)
try to figure out all these things.
consider the file size(s) and the download time.
One more option could be importing video into flash mx ,
playing video on the web isn't simple, I am not discouraging you, but that is the truth.
by the way how many seconds is the duration of the video?
all the best