It's simple dude. Just right-click the object and activate it. If it is a video file, it will play in a media player. If something else, it will open accordingly.
To Saurav: Embedded files can be any file. It may be mpg video, exe, audio files..etc. Now-a-days people embedd such files in MSWORD and transmit it via email to pass through firewall in office and organizations.