When you use dedicated web hosting services, you need to use an FTP to move your files onto the server. These are the files that form your website. Some could be site code pages, and some files may just be the images and the videos that you are using on those pages. All of the files have to be hosted on the server in order for the site to work correctly. The only other way to use a video is to embed one that is hosted on a different site, if you have the rights to do so.
Before using the FTP, make sure that you put all of your files in the correct folders so that you quickly and easily know where to find them. You also want to keep a copy on your machine. This way, you can work with them offline, adjusting things and making changes until you get it all to be just right. You can then upload the new files and instantly put those changes on your site, rather than making the changes while you are online.
You may even want to structure your whole site on your computer, including the data folders that the pages will use, so that it is all set up to run. With one massive upload, you can put everything in place and launch your site. You do not have to play around with the structure or make sure that files and folders are being uploaded to the right places because you already know that they are.