Well, to host the videos yourself you'll need to upload them to your webspace obviously, then use code to call that file on your webpage.
Code:
<OBJECT ID="MMPlayer1" WIDTH=278 HEIGHT=240 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="_RefFiles/J11 BBC.wmv"> <PARAM NAME="ShowControls" VALUE="1"><PARAM NAME="ShowStatusBar" VALUE="1"> <PARAM NAME="ShowDisplay" VALUE="0"><PARAM NAME="DefaultFrame" VALUE="Slide"><PARAM NAME="Autostart" VALUE="0"><PARAM NAME="Loop" VALUE="FALSE"><Embed type="application/x-mplayer2" pluginspage="http://www.microsoft.com/Windows/MediaPlayer/download/default.asp" src="http://www.yoursite.com/yourvideo.wmv" Name=MMPlayer1 Autostart=0 ShowControls=1 ShowDisplay=0 ShowStatusBar=1 Loop=FALSE DefaultFrame="Slide" width=278 height=240></embed></OBJECT>
Just plonk the above code where you want your player to appear on your webpage.
Be sure to edit the URL to the one that points to your video.