As a self-running .exe file
This is the most compact, and highest resolution choice (50MB, 800x600 window, CD-quality audio, 19-minute video). But it runs only on Windows PCs and you must reassure your visitors that it is safe to download an .exe file. Most browsers will issue a warning and you need to anticipate that. Run the .exe file.
As a Flash file
This is the most compatible version, as all operating systems and virtually any browser can play them. Video is not quite as sharp as with the executable file and it is a bigger download (80MB). But it streams and plays for everyone. Run the Flash video.