There are different reasons to need to include video, and how you do it depends on which reason you need video. In most cases the video would remain an external file, but you may want to embed video in the timeline to publish both the video and your animations as a SWF file, or you might be bringing the video in just to create an animation on top of it, which you then export as a video with alpha transparency.
In either of those two cases you would need to be using an ActionScript 3.0 FLA, it won't work with an HTML5 FLA.