Click the "insert/edit media" button in the content editor to open the media toolbox.
If you know the URL of the video (if it's on YouTube or Vimeo you can use their "sharing" tools to get the URL) you can enter that in the "General > Source" field. Otherwise you can click the button at the right hand side of the source field to open the file browser and select the video from your uploaded files (if you haven't uploaded it yet you can do that in the file browser too).
You can specify the width and height (in pixels) if you'd like the image to appear at a specific size although this will be automatically calculated when you select the video.
If you'd like the video to automatically scale up and down with it's content container you should create a responsive video container first and then insert the video inside that box. ("Insert Building Blocks" > "Grids and Containers" > "Responsive Media Container")
When you're done just click "save" in the media toolbox and you'll see the video (preview) is inserted into the content editor.