I think you should be able to do it with object:
Code:
<object type="video/mpg" data"FILE.mpg">
Your browser can't display this movie.
The file that is supposed to be here is
<a href="FILE.mpg">FILE.mpg</a>.
</object>
Although that needs a plug-in for the browser to show it, and seems to have problems - I think you may need to add a <param> in there too. The other (non-standard) way is to use embed (which you could put inside the object tag instead of the error message. I think it's used something like this:
Code:
<embed src="FILE.mpg"></embed>
<noembed>
Your browser can't display this movie.
The file that is supposed to be here is
<a href="FILE.mpg">FILE.mpg</a>.
</noembed>
I didn't have much luck getting either of them to work