Embedding Media Player Help

I know how to embed codes into wordpress. I wanted to get some information on how to make media players used on sites such as http://www.cnn.com/ on to my site. I basically want to have my videos to be able to play from mobile devices directly from my site without having to open another page or apps such as “Youtube” to to view the media. I’m sure this is pretty simple but I’m a beginner thanks in advance.