According to a few different articles, wordpress should be able to automatically convert video url’s [ie. http://www.youtube.com/watch?v=5Euj9f3gdyM&feature=g-vrec&context=G2079b5bRVAAAAAAAAAQ ] into embedded video without any problems..
However, I’ve never been able to get this work on the dozen or so sites I’ve created w/ wordpress. So, I’ve found a great utility to do this.
It’s called, conveniently enough, WordPress Video.. If it was me installing the plugin, I’d go to my plugins page on the dashboard of my wordpress install and search/install the plugin that way. A simple search with the keywords WordPress Video will give you the results you’re looking for.
For more information on the plugin, head to their instructions.