It's all a matter of which plug-in you have installed, which browser you're using, how your MIME types have been defined and associated, and which codecs are actually available on your computer. Of course, it's also a matter of which format the media file is in, and whether it matches up with all of the above.
The easiest thing for a web page to do is to link directly to the media file, and hope that your system knows how to handle it. If it does, the ideal result is that an external player will spawn off and play the file. The less ideal case is that you'll end up downloading the file but not automatically playing it. The worst case is that the download won't be binary and you'll have a lot of unplayable junk in a very large file.
So it's often better to 'embed' a player on a web page. Of course, the tag isn't officially supported, and you usually have to put a lot of fail-safe code into the page to deal with invoked plug-ins that don't exist, or are the wrong version, etc., etc., ad nauseam.
The more or less standard method for embedding streaming media way which has emerged from all this is to invoke a specific plug-in using the <OBJECT> tag and within that include an <EMBED>tag which automatically invokes the embedded player as an alternative.
Within the <OBJECT> or the <EMBED> one can specify a number of parameters in a number of different ways. Examine the source of the three players below for examples.
The Quicktime™ player usually plays a media file directly. The whole file is downloaded before streaming begins.
The Windows Media™ player can play a media file directly, or it can invoke an *.asx file which in turn contains information including the url of the media file. The latter method may allow the an external (non-embedded) video to begin streaming before it is completely downloaded.
The Real Media™ player can play a media file directly, or it can invoke another file with either a *.ram or *.rpm extension which in turn contains the url of the media file. The latter method may allow the video to begin streaming before it is completely downloaded.