If it's your own beatmap:
Well although you can probably find it in the FAQ i'll just tell you to drag the video to the editor window of your beatmap.
If it's an already ranked beatmap:
This one is tricky so i suggest experimenting yourself adding a video normally, of course this would add a line to all .osu files, you just need to cut and paste this line on the .osb file
(This method wont work after .osz2 is implemented btw)