If you have a fast connection (like cable or DSL) and you have QuickTime 5 (available for both Mac and Windows from Apple) and the Quicktime browser plugin, the video will start to play as soon as the page loads right on the page.
If you have a slow connection it will still play after a long wait. I've been on cable or a T1 line for so long now I have almost forgotten what internet on dial up connections are like.
I have always been a Mac user so Quicktime has always been my media player of choice but I do remember back when I was on a 28k dial up I would start a download of a 20 second video go get a coffee and then wait some more for it to load before playing it completely through.
Now with QuickTime5 and the streaming server it does work better even on slower connections but I have to agree with Cynthia. Video and other multimedia is best for those of us with high speed connections.
This one is worth the wait though. not that I had to wait
Also QT5 was designed for fast processors PC with PIII 400MHZ or a Mac with G3 333MHz or better is recomended for QT5 and the browser plugin.
So if you have a old PC or a old 601PPC Mac even after the file downloads it may still play poorly or even not at all if your system can't handle the decoding of the video and sound.