Link of embed? Theres a few options with embed that can be modified, size, location, show controls for a few.
Link Version:
<a href="yourvideo.wmv">Click to open this video in Windows media player</a>
Embed Version:
<OBJECT ID="Player" CLASSID="CLSID:22d6f312-b0f6-11d0-94ab-0080c74c7e95" codebase="http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=6,0,02,902" STANDBY="Loading Microsoft Windows Media Player components..." TYPE="application/x-oleobject" width="320" height="240" Name="BOULDER CHANNEL 1">
<param name="fullscreen" value="true">
<param name="autostart" value="true">
<PARAM NAME="FileName" VALUE="http://www.yoursite.com/yourvideo.wmv">
<PARAM NAME="showControls" VALUE="true">
<param name="ShowStatusBar" value="true">
<EMBED type="application/x-mplayer2" pluginspage="http://www.microsoft.com/Windows/MediaPlayer/" SRC="http://www.yoursite.com/yourvideo.wmv" name="MediaPlayer1" width="320" Height="240">
</EMBED>
</OBJECT>