You need a video file.
Drag the video file directly onto the slide. You can do this from the finder or desktop, or use the icon right at the top of the open video window. You can resize the video once you have dragged the video into Keynote.
Click on the video file. Open the inspector, go to the build inspector and choose start movie. Optionally you can Open the drawer and have the video start automatically after the transition. This allows you to have the video play as soon as you advance the slide.