Showing video on a WordPress site is easy. Either you link to a video on another site or you show a video that has been uploaded to your site.
Here is a list of some video services:
Funny or Die
Once you find a video on one of these services, paste the URL of the video into your WordPress post (or page) on a separate line. WordPress will convert the link to an embedded video window that shows a graphic of the video that visitors can click on to watch the video.
If you are showing a video from your media library, its is best to use an MP4 video format. If your video is not in that format you can convert it. Consider using the Micro Video Converter (not free). On download.cnet.com there is a category for video converters. Included is Any Video Converter, FormatFactory, Free MP4 Video Converter among others. These are free, but remember you get what you pay for! At this point I cannot recommend any particular video converter.