There you go. When you click the video icon, a box should pop up that allows you to put a URL in the alotted space. Put your URL in the space and it is as simple as that. There appears to be only certain sites that are supported....youtube being the most obvious. If you have a video on your hard drive, I am not sure if there is a way to uplink it directly to the site. I would recommend you uploading your video to the supported sites and then paste the URL.
NOW, if you are not getting the popup box, it is likely a browser issue. What browser are you using? I use Google Chrome and it works without issue. I would assume Explorer wold work as well. I know we have had issues with Firefox....and maybe safari.
Lemme know.