One method I know works for "Real Media" files.
You will need to have the *.rm file (the video file itself). for this
example call it "movie.rm"
Then you create a plain text file with the same name but with a "*.ram*"
extension e.g. "movie.ram"
Then, in this text file type the full url to the rm file eg
http://www.longhillfd.com/movie.rm. Save "movie.ram"
Then in the page you want to link from make the hyperlink to the "movie.ram"
file.
Then publish the movie.rm the movie.ram and the html file containing the
link.
When you click the link to the movie.ram file it recognises this, and will
start streaming the content of the movie.rm file. You can of course link
direct to the movie file, but it will download first, then play and not
stream.
The above procedure is for Real Media, not sure how to do streaming video
for Quicktime, Windows Media, etc.
Another way might be to embedd the movie in a flash file .......
It depends on the movie file formats you'll be using.