add this code to your page:
<HTML>
<HEAD>
<TITLE>Embedded Windows Media Player 7 Control</TITLE>
</HEAD>
<BODY>
<OBJECT ID="Player" width="320" height="240"
CLASSID="CLSID:6BF52A52-394A-11d3-B153-00C04F79FAA6">
<PARAM name="autoStart" value="True">
<PARAM name="URL" value=http://WebServer/MyFile.wmv">
</OBJECT>
</BODY>
</HTML>