There are several ways to do this, embed the video into the web page to be played right from the site, or allow visitors to download the file, or both. First determine what you want to do. For a simple download link you use the typical href tag like this
<a href="http://www.yoursite.com/movie.wmv">Download Movie</a>
Or to embed the file
<OBJECT id='mediaPlayer' width="320" height="285"
classid='CLSID:22d6f312-b0f6-11d0-94ab-0080c74c7e95'
codebase='http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=5,1,52,701'
standby='Loading Microsoft Windows Media Player components...' type='application/x-oleobject'>
<param name='fileName' value="http://www.yoursite.com/movie.wmv">
<param name='animationatStart' value='true'>
<param name='transparentatStart' value='true'>
<param name='autoStart' value="true">
<param name='showControls' value="true">
<param name='loop' value="true">
<EMBED type='application/x-mplayer2'
pluginspage='http://microsoft.com/windows/mediaplayer/en/download/'
id='mediaPlayer' name='mediaPlayer' displaysize='4' autosize='-1'
bgcolor='darkblue' showcontrols="true" showtracker='-1'
showdisplay='0' showstatusbar='-1' videoborder3d='-1' width="320" height="285"
src="http://www.yoursite.com/movie.wmv" autostart="true" designtimesp='5311' loop="true">
</EMBED>
</OBJECT>
as you can see there are also multiple options when setting the play from site embedded file. As for will the page be to heavy for the dial up users, this is just a matter of how large of a file you have. A couple of things to consider when working with video on your site are:
How long of a video to publish?
What quality to publish it at?
What format to publish?
Each of these will directly affect the size of the file, and that will affect the "weight" of the page.
Hope this helps you out.