Video files are massive. Serving them directly costs money. Thankfully, there are web services that do this for free such as Youtube
You will need to create an account with whichever company you choose, and follow their instructions for upload.
Youtube, Vimeo, provide an “Embed Link”, near the video, which will be some HTML code, in a text box that can be easily copied.
Go to the page you wish to include that video and Paste wherever you want the video. When you look at that page in a browser, you should now see the video in the right place.
This works for any hosting site with an embedd link, including soundcloud for music, though small music files may be hosted safely on your site. If you host them, then they can downloaded and copied easily. It’s up to you if you think this is a problem.