Not a stupid question at all Supernova, I should have posted instructions to this already.
There are two ways of posting videos:
1) You select the filmstrip icon from the list above the typing box, then simply paste the URL of the YouTube, Daily Motion or Google video link inside. (That option *only* accepts videos from YouTube, Daily Motion and Google.)
2) Copy the embed code and simply paste it in the typing box. Before sending the message, however, you have to uncheck "Disable HTML in this post" from the Post options below in order for it to work. With this option, you can post videos from just about anywhere.
I'll go ahead and sticky this so that anyone else confused on how it's done can see.