Check with your web host that these file types are supported by their server.
That worked. They told me to create a .htaccess file and uplaod it. I had to learn what a .htaccess file was and what to write in it but it all turned out well so I'm happy.
For anyone who hasn't gone through this before a .htaccess file is one way to make changes on a lynux server. It's not the prefered way but it's the way the folks at godaddy told me to do it. Notice .htaccess starts with a dot, notepad wouldn't let me save a file if the name started with a dot so I left the dot off and renamed the file after I uploaded to the server.
The entire contents of my .htaccess file goes like this.
AddType video/ogg .ogv
AddType video/mp4 .mp4
AddType video/webm .webm
simply AddType followed by the mimetype fillowed by the file extention of that mime type you want to use. I didn't need to include mp4 as that worked already.