First your going to want to got to the video hosting service of your choice. For this tutorial I am going to be using Youtube which is probably the easiest way.
Next look up the video you want to embed.
Find the video of your liking and click!
Once you are on the video you can right-click and hit the "Copy embed code" button.
Lastly paste that into your code and you are all set! Don't forget to edit your width and height.
Now you are all set!