Forum Moderators: mack
The format really depends on your audience, for general purposes I'd suggest WMV. Anybody with a Windows machine going back to win 98 will be able to play it from fresh install. Users for mac and other platforms have support and due to it's popularity will most likely have something installed.
After that I'd suggest flash, for ultimate compatibility use MPEG1, the issue with MPEG1 is that it requires approx. 4X the bitrate compared to WMV or other MPEG4 derivatives.
As far as how to link to it if you don't want to directly embed it in a main page you could create pop-up page with the player embedded in that.