you don't embed it as a link -- there is a little video icon above the text box when you switch over to "Advanced" mode. Click on that, paste your link into the address box that pops up, and it embeds itself. Alternately you could manually type in [videa]your.videoaddress.com[/videa] with "video" in place of videa (just did not want the software to automatically create a box there for me).
you actually don't even have to switch to advanced mode to do that.