How to upload & embed videos, and mp3's into wordpress

Hello this is my first support but I want to figure out what to do on some things.

My host is Bluehost.

I have a video that I am trying to play but when inserted with any video player I get a error or it only gives me a link to the video file

Ex.
Go to post
Go to insert media
Insert video file with jw player
View post after publish
Error
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I also cannot make any video or mp3 files play or even get embeded in my post or pages. The mp3 files are in my Media Library with the help of this plugin called:

Plugin: Add From Server
Description: Plugin to allow the Media Manager to add files from the webservers filesystem. Note: All files are copied to the uploads directory.

Note: That is the only way to get my files into the Media Library
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Basic Question Overall

I want to know how I can play my video files and mp3 files and have them actually work like they should.

Ex. I had a wordpress.com site. I had videopress. You just click insert media and the mp3 file or video file would play in your post or page with ease. Please tell me what to do.

Thank you for reading this