You have not mentioned what type of video files you are using, or the type of media player which you prefer. If it is a common format mpeg, flv, avi, m4v, quicktime, or realplayer then the media filters built in to moodle might help you. Moodle can detect links to media files, and replace them with an embedded player.
Here's how to do it:
Turn on Modules / Filters / Multimedia filter
Then configure using Modules / Filters / Multimedia Plugins
Uploading the video file to a moodle course or to the front page files area. You may have to do this directly to your moodledata directory on your server if the file is too large to upload using a web based upload.
Then add a normal link eg