There are several ways to do this. I'll cover the quickest and easiest one.
First, find the embedding code for whatever video it is you want to post. I've included where to find the code for both YouTube and Gametrailers; I'm afraid you'll have to find it on other sites on your own (although it's rarely hidden).
Once you have the embed code, simply post it in the post box, and click "Post".
The code will look like gibberish for now, so click on edit.
You'll notice that the code is gone, and has been replaced with a box. Without changing anything in the code, press "Post." Your video should now be embedded.