Had to do this similarly for an MP3 yesterday, and used AllVideos Plugin, however due to 1.5 not triggering plugins in custom modules, there's a workaround using Joomlaworks UCD (Ultimate Content Display) module to call an article that has the video placed in it.
forum.joomlaworks.gr/allvideos-%28plugin...de-block-content%29/
Obviously it depends on how big a video you want to display, and the MP3 player fits nicely in the module position I've got it in. But that's too narrow for the video I've got on the same site (
www.equitana.com.au/news - bottom of the left column has the video and the MP3 player links).
The video is done as a custom module with a screen grab of the video as a slide. There is then a link on this button that has a JCE Media Box popup code to load the YouTube video directly. To do the same with a WMV/SWF on your site, create an article and put AllVideos plugin code in to load the player, and then trigger the article as the popup.
www.joomlacontenteditor.net/support/tutorials/jcemediabox has a number of tutorials on different content.