You can use any of the video sharing sites to embed your video. Sites like YouTube, Viddler, MetaCafe are all websites where you can publish your videos and then use the special EMBED code to embed them into your blog.
If you don't want to use a video sharing facility then you can upload the file via FTP on your hosting space and link to it. If the user has a video player that can understand your video format then it will open up in a new window.
I hope this helps.