Dinesh,
You have not mentioned what type of video files you are using, or the type of media player which you prefer. If it is a common format mpeg, flv, avi, m4v, quicktime, or realplayer then the media filters built in to moodle might help you. Moodle can detect links to media files, and replace them with an embedded player.
http://docs.moodle.org/en/Multimedia_plugins
Here's how to do it:
Turn on Modules / Filters / Multimedia filter
Then configure using Modules / Filters / Multimedia Plugins
Uploading the video file to a moodle course or to the front page files area. You may have to do this directly to your moodledata directory on your server if the file is too large to upload using a web based upload.
Then add a normal link eg <a href="my-video.flv">myvideo</a>. You can do this almost anywhere that moodle allows you to enter rich text.
So you could add it to a course page by adding a link into the a topic description in a course, or by creating a separate moodle "web page resource", which includes a similar link.
With media filters turned on, moodle will try to replace the link to the media file with a suitable embedded media player.
This works well for short video clips and audio, but long video files might require a more complex solution and performance will depend on how you are hosting your site.