FrontPage sucks... I would stay far away from it. It's better to learn HTML yourself so you're not dependent on a program that creates crappy code.
To link to your file, you'll have to upload it, because you can't link to things on your own hard disk; they're not accessible to others.
It's pretty simple; if your file is "junk.avi", then if you upload it to the same directory as "index.html", then you can link to it with Your File.