Here is the code I use. I have inserted the file name you need to change in red, let me know if you need help. It will auto start when page loads...which I like, change the value to false if you don't want it to.
!-- begin embedded WindowsMedia file... -->
<object id='mediaPlayer' width="320" height="285"
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="
http://www.domainname.com/yourmovie.wmv">
<param name='animationatStart' value='true'>
<param name='transparentatStart' value='true'>
<param name='autoStart' value="true">
<param name='showControls' value="true">
<param name='loop' value="false">
<embed type='application/x-mplayer2'
pluginspage='http://microsoft.com/windows/mediaplayer/en/download/'
id='mediaPlayer' name='mediaPlayer' displaysize='4' autosize='-1'
bgcolor='darkblue' showcontrols="true" showtracker='-1'
showdisplay='0' showstatusbar='-1' videoborder3d='-1' width="320" height="285"
src="
http://www.domainname.com/yourmovie.wmv" autostart="true" designtimesp='5311' loop="false"> </embed>
</object>
<!-- ...end embedded WindowsMedia file -->