How to embed Windows Media Player in HTML document
(mioplanet) (Microsoft)
Embedded Windows Media in Firefox
See here for Vista

Some of the info below is from Pimp Space
AUDIO PLAYERS
You can embed music into your page so that it starts automatically when someone views your page.

<embed src="url_of_song" autostart="true" loop="true" width="280" height="45"></embed>

The autostart attribute tells the song file how to begin. If you have this set to "true", the song file will begin playing automatically when your blog page loads. If you put in "false", the sound file will not start automatically and the visitor will have to start the song.

The loop attribute tells the song how many times to play. If you have this set to "true" then it will play over and over again automatically. If you have it set to "false" it will play once and stop.

VIDEO PLAYERS
Windows Media Player Video Code: Example 1

 <embed name="RAOCXplayer" src="URL of video goes here" type="application/x-mplayer2" width="400" height="302" ShowC."1" ShowStatusBar="1" AutoSize="true" EnableC."0" DisplaySize="0" pluginspage="http://www.microsoft.com/Windows/Downloads/Contents/Products/MediaPlayer/"></embed>
 

Windows Media Player Video Code: Example 2

[html:object width="100%"
 
  classid="clsid:6BF52A52-394A-11D3-B153-00C04F79FAA6" id="PTMediaPlayer"]
  <param name="URL" value="http://my.opera.com/dr-flay/homes/Music/Radio.asx">
  <param name="rate" value="1">
  <param name="currentPosition" value="0">
  <param name="playCount" value="1">
  <param name="autoStart" value="0">
  <param name="uiMode" value="full">
  <param name="stretchToFit" value="-1">
  <param name="enableContextMenu" value="-1">
 </object>

<object allowScriptAccess="never" allowNetworking="internal" enableJSURL="false" enableHREF="false" saveEmbedTags="true" type="application/x-mplayer2" classid="6BF52A52-394A-11d3-B153-00C04F79FAA6" height="45" width="280">
   <param name="fileName" value="http://files.myopera.com/dr-flay/Music/ChaosB.C.mp3" />
   <param name="URL" value="http://files.myopera.com/dr-flay/Music/ChaosB.C.mp3" />
   <param name="src" value="http://files.myopera.com/dr-flay/Music/ChaosB.C.mp3" />
   <param name="allownetworking" value="internal" />
   <param name="allowScriptAccess" value="never" />
   <param name="enableJSURL" value="false" />
   <param name="enableHREF" value="false" />
   <param name="saveEmbedTags" value="true" />
 </object>..

Windows Media Player Video Code: Example 3

[html:OBJECT id="VIDEO" width="320" height="240"
 	style="position:absolute; left:0;top:0;"
 	CLASSID="CLSID:6BF52A52-394A-11d3-B153-00C04F79FAA6"
 	type="application/x-oleobject"]
 
 	<PARAM NAME="URL" VALUE="your file or url">
 	<PARAM NAME="SendPlayStateChangeEvents" VALUE="True">
 	<PARAM NAME="AutoStart" VALUE="True">
 	<PARAM name="uiMode" value="none">
 	<PARAM name="PlayCount" value="9999">
 </OBJECT>

Widows Media Code submitted in the comments by by
Unregistered user # Thursday, February 26, 2009 1:31:48 PM

 <object id='MediaPlayer' width='100% height='500px' classid='CLSID:22D6f312-B0F6-11D0-94AB-0080C74C7E95' standby='Loading Windows Media Player components...' type='application/x-oleobject' codebase='http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=6,4,7,1112'>
 <param name='filename' value='/tester/media/kelly MSc/".$file."' />
 <param name='Showcontrols' value='0' />
 <param name='autoStart' value='0' />
 
 [html:embed type='application/x-mplayer2' 
 src='/tester/media/kelly MSc/".$file."' 
 name='MediaPlayer' 
 showcontrols='0' 
 autostart='0'
 width ='100%'
  ]
 </embed>
 
  
 </object>";
 

Real Player Video Code:

<embed src="URL of video goes here" width="320" height="240" loop="true" type='audio/x-pn-realaudio-plugin' autostart="false"> </embed>

Quick Time Video Code:

<embed src="URL of video goes here" width="320" height="256"> </embed>

Flash Video Code:

<embed src="URL of video goes here" width="550" height="400"> </embed>