This is done differently depending on the website where the video is hosted. Normally you have to look for the "Embed" button and copy the code displayed there. Here are some examples:

You can find the embed field in the box with the information on the video. You can even customize the way the player will be displayed on your website. Click on "Share" below the video and on "Embed".
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Click on "Export" below the video. A box will appear containing the code that you can copy to put on your page.
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YouTube, Dailymotion, Vimeo and Metacafe offer the possibility of changing some of the video settings and how it is going to be displayed on your website (Background-Color, Title, Size).
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2. Manage your group.

3. Click on the "Website" tab (in the manage toolbar).

4. Select the web page that will contain the video and click on the "Edit" icon .
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5. Click on the 'Source' button and then paste the embed code.
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6. Click on the 'Save & Preview'  button and see the video on your web page.

Note: If it doesn't work directly, refresh the page.