Hi,
Use the <object> tag.. Below is one good example,
<OBJECT
ID="mediaPlayer"
CLASSID="CLSID:22d6f312-b0f6-11d0-94ab-0080c74c7e95"
CODEBASE="
http://activex.microsoft.com/activex/
controls/mplayer/en/nsmp2inf.cab#Version=5,1,52,701"
STANDBY="Loading Microsoft Windows Media Player
components..."
TYPE="application/x-oleobject">
<PARAM NAME="fileName"
VALUE="#your_media_file_name.extension#">
<PARAM NAME="animationatStart" VALUE="true">
<PARAM NAME="transparentatStart" VALUE="true">
<PARAM NAME="autoStart" VALUE="true">
<PARAM NAME="showControls" VALUE="true">
</OBJECT>