The safest and easiest way to add a video to web page is to use a link.
It avoids any issues of browser incompatibilities in understanding embedded video files (although your viewer still need the appropriate helper application). Here is an example
In the (B) Link to box type in the name or URL of your video file (e.g. "myfilm.avi" or "../video/myvideo.mov"). Instead of the link being pointed at a webpage it is aimed directly at the movie file.
To make the link open in a seperate window so you don't loose the current one, hit the Extra HTML.. button (composer 4.x)