If you are using Windows Media Player for the embeded video it should look something like this.

<embed type="application/x-mplayer2" pluginspage="http://www.microsoft.com/Windows/MediaPlayer/" name="mediaplayer1" ShowStatusBar="true" EnableContextMenu="false" autostart="false" width="320" height="240" loop="false" src="MyVideo.wmv" />

Change, or add the loop attribute to loop="true"


Here's a good article about the issues and solutions of embedding different types of video.
A List Apart: Articles: Bye Bye Embed