Did you upload the player on your site? If not, please have a look here:
In the plugin option page you can active the plugin functionalities for posts, pages and all the others post types.
How to publish a video? This video can be useful:
You can upload videos by the WordPress media system or directly in ftp but remember, you have always to use di direct link to the media source, the only exception is YouTube.
Hope this helps 😉