Flash will directly support imported video. You can convert your video to .swf format and then import the .swf into flash.

You should try the vid2flash software which allows users to import video into flash. It will do exactly what you are trying to do.

It basically converts .avi, .mov, and .mpeg into .swf format.

This way your movie does not depend on an external player or format. Instead you can load your .swf into your existing .exe

You can get a free trial here
http://www.javakitty.com/vid2flash/vid2flash_zip.exe

or buy the full beta for $25.00 from the website.
http://www.javakitty.com/vid2flash/index.htm

Download a "How-To" movie demo here
http://www.javakitty.com/vid2flash/vid2flashdemo.zip