Embed media player

I've tried using it myself but their instructions below are not very clear.

http://www.yootheme.com/demo/themes/joo ... &Itemid=81

The above link tells you that you need to embed code to get the media played to work. It doesn't tell you how or where to embed this code. It also doesn't tell you if you can replace the media file with, say, a YouTube address.
Could you please tell me if I need to create an article, module or what to embed this code into, I'd really appreciate it.Thank you.