In order to add videos to your Run site, you must first upload them to a video hosting service like Youtube or Vimeo.
Once that's done you can copy the embed code from those videos into various places on your Run site. Videos can be embedded on:
The Video component
The home page header
The Page Intro component
The Full Width Media component
A video embed code is NOT the URL of the page hosting the video. If your embed code starts with "https://" you're on the wrong track - embed codes will usually but not always begin with "<iframe".
Youtube
In order to embed a video from Youtube, go to the page with the video, and below the video click Share, then Embed, and then copy the embed code provided.