You can use PHP to place the code on your page, but the code itself must be client-side (i.e. OBJECT, EMBED) in order for the browser to play it within a page.
You can use PHP to, for example, get the name of the file to play from a database or from a form selection and then dynamically include the file name in the static code on the page.
(i.e. <parameter name="movie" value="<?=$thisMovie?>">)
The most simple way to do it is just to include a link to the MPG file. The visitor clicks the link, and the MPG opens up in their media player (WinAmp, MS Media Player, QuickTime, etc.) The link value can also be populated by PHP, similar to above.
(i.e. <a href="movies/<?=$thisMovie?>">)
There are several ways to get a movie into a page's code.
Here's a link to an online code generator that you can learn from.