To embed a video into your site simply go to Youtube or Vimeo and copy the embed code from there.  Come back to your site and embed it.  To do so, if you want it in the sidebar go to Appearances>Widgets and drag a Text Widget to the appropriate sidebar.  Insert your video code into the widget and save.  If you would like the video to go into a page or a post simply go to that page or post and from the two tabs on the right of the content area choose “html.”  Paste your code in and publish your page/post.

Please note, Youtube and Vimeo code comes in pre-arranged sizes which may not fit your theme well.  Almost all of our themes have 300px wide sidebars and 588px wide content area.  Therefore you may want to change the height and the width of the video code to suit those area better.