See the smilely face, image, video icon in the reply box header
Click on the Video Icon, it allows you paste the link so you can embed it.
I just copied and pasted the YouTube shortcode for "Share" in the Embed dialog here for video emedding
The video needs to be "hosted" somewhere. I find Youtube to be very simple to use. Any video hosting website will work (I assume). Vimeo and dailymotion are a couple others. Flickr even has a cludgy way of hosting videos.