Just fiddling around, I converted an .avi file to the .flv format with a video conversion program (Ultra Flash Video Converter version 5.3.0). Anyway, the program produced the video complete with a player. I liked the way the player looked (simple) so I decided to see if I could make the thing work in a WordPress page. As it turned out not only did the thing work, but, making it work was easy. Basically, I did three three things:

1. Copied some javascript code into the header.php file of my theme.
2. Copied a couple of .swf files to both the root directory and theme directory of my WordPress site (not sure which ones are being used….)
3. Copied the embed code to my page.

The only other thing I did was adjust the width and height values. All of this produced the video which is displayed on this page.
 
You can download the files for the preceding example here. Just copy the javascript in the header of the html document to the header.php file of your theme…..it should work.