The way I like to do it is to make a folder on your server, call it warehouse. Add a folder inside there called video. Add the files there. Be sure your video files do not have any spaces, use dashes ( - ) or underscores ( _ ) to represent spaces.
If you want your video to play in all browsers, and I suspect you do, then you will want to convert the MP4 file to WebM and OGV files. We suggest you use Miro Video Converter to do this. You will need to add those videos to your server as well.
Then use the links to the files on your server, they will be something like this (you will need to replace the appropriate names in the right spots)
Hope this helps!