You need a plugin that would allow you to add an embeded video player code or just install a plugin that would allow you to add a video to your website.
It obviously depend on what kind of a video player you want, flash, html5 or java script.
Don't go for boring plugins which may help to get hacked your website or slow down the performance of your site. Go to YouTube, upload your video or open any existing video (uploaded by you or anyone else). Right click on the video and select "copy embed code". Paste it on your TEXT tab of wordpress page/post. That's it.