Actually, I have managed to get the raw source files to open in CS4 and they are ok. I'm still struggling to figure out which options/codec to render with. It seems everything outputs a poor looking .wmv. :\
try to render to h264.
For web i recommand these settings (it's what i use for my online portfolio, you can check the compression quality here: www.yenaphe.info):
Profil: main 4.1
Par: 1.0 (square pixel)
Bitrate: 1pass VBR: 1mbs (max 2mbs)
Audio AAC 128kb
Also try to output to FLV and embed it into your website (see this thread for some tips). H.264 is certainly also an option, but be aware that it still may cause viewing problems for some users, e.g. crash the browser. Since you are on CS4, you could also do this in Adobe Media Encoder, which will provide some more encoding options...
Mylenium is right, and i'd like to say that i'm using h264 encoding muxed into an flv file, it works great, but older computers and older browsers might not like it very much. Flv supports older codecs from which you can get pretty descent results too.