Embedding Windows Media Player is a piece of cake (see bottom of the page) and with the right background image can look like Youtube. Feel free to scrape my code.
Edit by BCS: His code
<object id="MediaPlayer" width="165" height="170"
type="application/x-oleobject"
standby="Loading Microsoft Windows Media Player components..."
codebase="http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=9"
classid="CLSID:22d6f312-b0f6-11d0-94ab-0080c74c7e95">
<PARAM NAME="FileName" VALUE="vienna.wmv">
<PARAM NAME="TransparentAtStart" Value="true">
<PARAM NAME="AutoStart" Value="false">
<PARAM NAME="AnimationatStart" Value="true">
<PARAM NAME="ShowControls" Value="true">
<PARAM NAME="autoSize" Value="false">
<PARAM NAME="displaySize" Value="0">
<EMBED TYPE="application/x-mplayer2"
pluginspage="http://www.microsoft.com/Windows/MediaPlayer/"
src="vienna.wmv"
Name=MediaPlayer AutoStart=0
Width=165 Height=170
transparentAtStart=1
autostart=0
animationAtStart=1
ShowControls=1
autoSize=0
displaySize=0>
</EMBED>
</OBJECT>
Equally old, here is an example of how to handle different bit rates. I know, I am a terrible actor.
I would use Youtube today, which I don't think existed when I put these pages up.