Valid file extensions: bmp doc gif jpe jpeg jpg kml kmz mov mp3 pdf png psd txt wav wmv zip
...are the file types that you can upload as attachments. For movies the size is limited to either 5mb or 10mb depending on the format.
Or you can upload to a movie hosting website such as youtube, google video, dropshots, photobucket etc. for free. You can link to your video from your post.
You can't imbed video directly into your posts here unlike some forums.