Well, you need to be more specific. There are several plugins that deal with video. Here's a common set: flash, divx, java, activex, quicktime. Flash is what most websites use (including youtube) and is the easiest to install. Just go to the www.adobe.com and it should be right there on the right side of the homepage (it's a button that says Get Adobe FlashPlayer) while you're at it, get the shockwave player too; it's related to flash.
Divx is for higher-quality video streams, they are exclusive to the DivX player. From my personal experience, very few sites that I go to use this plugin, usually sites that charge to view their videos would have this.
Quicktime is also for high-quality video streams. The difference is that it's a free plugin, and more websites use it. Every now and then you'll stumble on one that uses it; so install it.
ActiveX is from Microsoft. At this point, it's not as used as heavily as before. It's a weak plugin, with security issues. Stay away from sites that use it. Believe me, if it uses activeX, it's suspicious.
Installing a plugin is really not that hard. It should be 1-2-3. Go to the site, download the file, and install it. Its not complicated.
In Boston, where I live, a lot of radio stations now broadcast online. Because of this new demand for video streaming, Microsoft developed a new plugin called Silverlight (Moonlight for linux). This plugin allows the radio station to broadcast their signal through a specific internet protocol to anyone with the plugin installed.Go to your local radio station's website and see if they broadcast online.