Insert the following OBJECT/EMBED tag in your Web page:

<OBJECT ID="MediaPlayer" WIDTH="320" HEIGHT="240" CLASSID="CLSID:22D6F312-B0F6-11D0-94AB-0080C74C7E95" TYPE="application/x-oleobject">
<PARAM NAME="FileName" VALUE="http://ServerHere/YourFolderHere/NameofYourMediaFileHere.wmv">
<PARAM NAME="autostart" VALUE="1">
<PARAM NAME="showcontrols" VALUE="0">
<EMBED TYPE="application/x-mplayer2"
SRC="http://ServerHere/YourFolderHere/NameofYourMediaFileHere.wmv"
WIDTH="320"
HEIGHT="240"
AUTOSTART="1"
SHOWCONTROLS="0">
</EMBED>
</OBJECT>

Directions:
The "type" attribute lets the browser know which plug-in to use to play the media.
The "src" attribute tells the plug-in what media to play and where it resides. The
"src" attribute can be the path to your media, an ".asx"reference file, or the mms path to the media. The "height" and "width" attributes are the dimensions of your media. If the media is audio only be sure to set the "height" and "width" to at least 2x2 or it may not work in all browsers. With attributes whose value can be “true” or "false" a "1" is used for "true" and a "0" for "false". The "autostart" attribute determines whether the clip starts playing automatically or not. The "showcontrols" attribute determines if the media controls are available to the viewer.The reason for the use of both the OBJECT and EMBED tag is to insure functionality in all browsers.

To prevent distortion of your video make sure that if the "showcontrols" attribute is set to "1", that you add 44 to the "height" attribute.

Microsoft Information on Embedding:
http://msdn.microsoft.com/library/default.asp?url=/library/
en-us/wmp6sdk/htm/embeddingwindowsmediaplayer.asp