When clicking on a video link it does take the user to a new page. After that I've been using the "back" arrow to come back here. I've checked all my settings in IE and they are set to open a video in a new tab, but that isn't working with videos posted on this forum. However, what does work is to right click on the video which brings up a menu. Choose either "open in a new tab" or "open in a new window".
Sherri, I know that doesn't answer your question about embedding the vids here, but it might help people to view them more easily.