Windows Media Player
This will tell you how to add a WMP to your space to play a video or audio file.

1)  First go to the "Edit My Space" page where you do all of your changes to your space.

2) Once you are there, add the following text to the end of the URL in the address bar of your brower and then click "Go" or hit enter:  &powertoy=musicvideo

3)  Once the page has reloaded, click on "Customize"

4)  Next click on "Modules" and there should be a new choice in the drop down menu called "Power Toy: Windows Media Player".  Click on it and it will add a new module to your space.

5)  Next click "Save".

6)  In the new module, there is a field for you to put the url of the video or audio file you want the media player to play (comatible file types are listed below the field) and other playback and display options.