Also a good question Sarah 🙂
If your video comes from a service that supports whats called oEmbed (there is a list at http://codex.wordpress.org/Embeds), all you have to is enter the URL to the page with your video on its own line and WordPress will fetch the video for you.
If video is from a service that doesn’t do that, you can still add it via the embed code. What you’ll need to do is edit the page/post where you want to have the video. Then look above the main content box and you’ll see a tab labeled text. Click on that tab.
That will switch from the visual editor to the HTML one. You can then paste the embed code from the service in here. Once you’ve done that update your page.
Switching back and forth between the tabs can cause the code to get messed up a bit, so you’d do best to exit out of editing that page before switching to the visual editor on another one. Then make sure to switch back to the text one on another page before editing the one with your video again, just to be on the safe side.
If you have any questions or trouble, let me know.
Bill