hello...
your best way is to leverage one of the many players already out there - here's a good start:
http://www.google.com/search?q=jquery+video+player
jquery is a popular (and free) javascript library that lots of people have extended for this sort of thing. mootools is another library you could consider.
some video players are free, some cost a few bucks. your choice. also, if you want to embed truly compatible video, you'll need a few versions so that people who don't have flash can see the video. google "html5 video" to learn more about that...
but it's not required, of course - you can just do a flash overlay too. but might as well leverage a 3rd party library with examples and all of that rather than re-inventing the wheel...
hope that helps!
sitruc