well first you need to shoot your video.
Then you have a few options. There are some plugins you can get to insert into wordpress that allow you to show video that is directly hosted on your own site, or you can choose the more popular option of uploading it to youtube and using a plugin to embed the video onto your blog.
Ask some of the more seasoned bloggers exactly which plugins, or just do a google search, you'll find it no time.
cheers
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