might need to check with your server if your allowed to host videos first, but mp4 should work. add a folder into the public directory, call it
vidz or something like that, then add a rewrite condition in to your .htaccess file allowing access to that folder. then use the youtube iframe (or an iframe of any type really) to embed the video on your site.
eg..
upload a mp4 file into your public directory in to a folder called vidz
( Fact: adding the video into the folder is better other wise you will need to make an rewrite condition in .htaccess for every video instead of just one folder one time)
then add the rewrite condition in to .htaccess file
RewriteCond %{REQUEST_URI} !/vidz/
now take youtubes iframe code and add your video url to the iframe like so:
<iframe width="420" height="315" src="http://yourwebsitehere.com/vidz/yourvideohere.mp4" frameborder="0" allowfullscreen></iframe>
then try embed this into the video plugin the same way you would any other youtube video.