Any file you have can already be embedded into another website without modifying the original file.
The caveat is that the method of embedding the file may be different depending on the file type (video, sound clip, image, java application, etc.) so unless you have something else in mind I'll assume that you mean a video file.
When given the opportunity to embed a video into another website, the original website usually simply offers the viewer an iframe tag and tells them to copy and paste the given ifram code into their website. So if a "myVideo.avi" file that is 300 by 400 pixels in size was located in the root directory on
http://yourdomain.x10hosting.com then it might tell users to embed the code:
Code:
<iframe height="300" width="400" src="http://yourdomain.x10hosting.com/myVideo.avi" frameborder="0" scrolling="no"></iframe>
Similarly simplistic code snippets can be used in an <EMBED> (
http://www.htmlcodetutorial.com/embeddedobjects/_EMBED.html) or an <OBJECT> (
http://www.w3schools.com/TAGS/tag_object.asp) tag. There are other tags you can use but again which tag to use (and how to use it) depends on the file type. Check out
http://w3schools.com/media/media_browsersounds.asp for many of them. The next page after that one talks more about videos and the entire section is worth a read.