Debes utilizar la etiqueta embed y tambien tienes los ejemplos de algunos parámetros
Código HTML:
<object id="MediaPlayer1" width=320 height=309 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" align="middle">
<param name="FileName" value="video.wmv">
<param name="ShowStatusBar" value="True">
<param name="ShowDisplay" value="false">
<param name="showstatusbar" value="True">
<embed type="application/x-mplayer2" pluginspage = "http://www.microsoft.com/Windows/MediaPlayer/"
src="video.wmv"
align="middle"
width="320"
height="309"
ShowControls=true
ShowDisplay=false
showstatusbar=true>
</embed>
</object>