Flash video Player not doing what I expected

I downloaded Flash Video Player with the expectation that it would play a video without leaving my blogsite, as is the case with embedded YouTube. When I play Flash Video Player it opens WinAmp on my computer, taking much longer than to play from YouTube. Is this what is supposed to happen with Flash Player or have a missed a step in setting things up? I haven’t done a great deal with WordPress so it is possible that I am clueless about how this all works.
Thanks for any suggestions