There are a couple of ways of doing this. You could use
Windows Media Streaming Services and have links in MOSS, or you could simply
upload them into DocLibs and use them that way. One way I did it a while
back for the customer was use the content editor web part and use the
standard windows media Active X control in HTML to load the moves and play
them. Worked fine. You will need to really work out how you want to use
them, on demand kind of scenario or just ad-hoc. This will then help you
decide how to best configure the system.
Just be aware there can be a speed issue when running large videos from
within SharePoint. My advice would be to use either NTFS share for the
videos and index or link to them in MOSS or use Streaming Media Services.