YouTube
Probably the easiest way to add videos to your website that will work in all browsers is by using YouTube.
1) Upload your video to YouTube
2) Use the YouTube object (in 'Media' section of the toolbox) to embed the video in the page.
Note that if the video does not play then you have probably used the wrong URL format. See the help.
Vimeo
As alternative to YouTube you can also consider using Vimeo.
HTML5 Video
To add HTML5 video to your website you can use the 'HTML5 video' object which is available in the 'Media' section of the toolbox.
Unfortunately there is no single video format that works with all browsers. However recent versions of popular browsers (FireFox, Chrome, Edge, Safari) currently support mp4.
If you want to support all browsers (old and new) then you will have to create multiple formats depending on which browsers you want to support.
For more details see this website:
http://www.w3schools.com/html/html5_video.asp
Note that video files can be pretty large, so it's recommended to upload the videos to your website manually. This can be done with either the built-in FTP manager or a separate file transfer tool.
Instead of using a local link you then have to specify an absolute link to the video. For example: http://www.yourwebsite.com/video.mp4
Quick 'n Easy Builder also supports other formats like QuickTime and RealPlayer but these formats are becoming less popular. It is not recommended to use these any longer.