To embed a video on a page in your SharePoint site, you'll use the Gallery Web Part. Even if you're inserting a single video, you'll still use the Gallery Web Part.
See instructions for inserting a single video.
To insert a gallery of multiple videos, see the Photo or Video Gallery instructions.
The video should be hosted on Youtube or Vimeo. YouTube is optimal because it allows you to include closed captioning. Closed captioning is required for ADA compliance.
If you are unsure of how or where to host your video on a DePaul YouTube account, please contact webcomadmins@depaul.edu.