There's a couple of things to look out for.
There are two tags you can use <object> and <embed>. Most browsers now understand object, but even though it's deprecated embed is still useful for (and more extensible for some plug-ins) others. So the reccomended use is and embed tag inside an object tag.
Here's an example for a quicktime file
CODE
<object classid="clsid:02BF25D5-8C17-4B23-BC80-D3488ABDDC6B" width="320" height="256" codebase="http://www.apple.com/qtactivex/qtplugin.cab">
<param name="SRC" value="XXX.mov">
<param name="CONTROLLER" value="TRUE">
<param name="AUTOPLAY" value="TRUE">
<embed
src="XXX.mov"
width="320" height="256"
controller="TRUE"
autoplay="TRUE"
type="video/quicktime"
pluginspage="http://www.apple.com/quicktime/download/">
</embed>
</object>
other files have different classid's to trigger the download of the correct ActiveX component if required.
Which brings me to ActiveX. In the new IE7 any activeX component requiested will cause a warning to be displayed, which must be accepted before the active content can be dispalyed. This may cause many users to avoid playing the file. The method that Adobe, Apple and microsoft andn others have designed to overcome this is to use javascript
Here's the apple example
http://developer.apple.com/internet/ieembedprep.html - the others are similiar and you can google for those.
The downside of this is that someone with javascript disabled will not hear your content. But let's face it most people with javascript disabled probably aren't interested in your content anyway.
The last resort is to make it a downloadable link. Personally I don't think that's very inviting, and many people aren't going to go to the trouble to download and open the file in a player which may or may not present it the way you want. Again this crowd probably isn't too interested in your content.
So determine your audience, the experience you want to give them and proceed with one of the three directions.