Like the ones you see on Youtube.com.
Step 1: What you will need
First you will need to download some things If you have Windows XP Pro you don't need the first Item on the list which is purely the Web Server.
1. A Web server program WAMP, XAMP, APACHE, or if you have XP PRO you have IIS.
I have IIS but i prefer to use WAMP because it adds some extra tools for other projects
2. The Next is your Mp3 Server. This is Vibe Streamer probably the most awesome software I could find on the net very simple install etc. Vibe Streamer
3. The free flv player for your website. JW FLV MEDIA PLAYER 3.16, gotta love the CC license (Creative Commons). JW FLV MEDIA PLAYER 3.16
4. A free Web template or if you know html go ahead and fire up.
1. Free CSS
2. Open Source Web Design
5. Program to convert your existing Videos to FLV format easily. Make sure you download the Free Riva FLV Encoder Free FLV