You're right, others do want to know about it, and in fact the question has been answered here before. That's why it's a good idea to search the forum before asking a question.

In any case, this is done using alpha channel video (which was introduced in Flash 8) and to place a Flash movie over your page, you can use wmode="transparent", which has been around for several years.

Doing something like this in Flash MX is possible, but more difficult. Essentially you have to export your video as a series of transparent pngs, and then combine them in Flash again.