In the simplest terms, if you are wanting a progressive download (doesn't sound like you're running a Flash server), you can place a DIV (layer) that's the same dimensions as the video in your page, you then need the following:
.FLV (not SWF) file embedded in the DIV
Flash Skin file (root of site folder)
Progressive Download file (root of site folder)
Scripts folder with script file inside (root of site folder)
Each of the last three items is produced when use the Insert menu in Dreamweaver to plunk the FLV file into the DIV. If you don't have Dreamweaver, I'm not sure how to produce these files... but for me DW is the easiest way to integrate all things flash into a site.
Hope this helps.
-PJ