Erm you have to upload the movie to the same directory as the page. Then in frontpage/dreamweaver go Insert>>Files/Sounds and select it. I think thats it, otherwise you will need to have a [SRC EMBED] type code which I'm really not familiar with. The best option TBH is to have a link to the movie. This is good for 56k users, as otherwise they have to wait for the movie to load. Giving a link to click allows them to open it when they want. If you are worried about people downloading it, I know a way to get round this.
Is there a particular media format you want to use? Depending on the media type there a few different ways to go.