Sitefinity has a built in player for .WMV videos and can also play .SWF videos. The .SWF videos are inserted trough Content Block widget -->Edit --> More Formatting options --> Flash Manager. The Flash Manager will ask yout to upload the file, however the maximum size of the file must be up to 200 KB. To upload larger files please consider this: go to Administration --> Files and create a new folder where you will keep the .SWF files then access the newly created folder in your file system and put the .SWF file there. After that you will be able to put the .SWF video on your site
There is another option if you are using Sitefinity version 3.7 you can look at this
custom module at Sitefinity marketplace which allows streaming of .FLV videos and other file formats.
the Telerik team