The jPlayer library for playing videos is very good and well documented here http://jplayer.org/latest/developer-guide/#jPlayer-option-errorAlerts, so I won’t repeat what it has to say. jPlayer is an excellent tool for creating a video player – what you need is one of each kind of format, flash and non-flash, for full multi-platform support. (Essentially, a flash file and a mp4 file.)
However, I would like to point out the invaluable setting for errorAlerts (link is below) which will alert you as to what is wrong if your video fails to play.
http://jplayer.org/latest/developer-guide/#jPlayer-option-errorAlerts