You can insert a video from a remote link (it doesn't have to be a video on your hard drive).
To do so:
- Get the URL that will load in a web browser (ideally ending in a .mp4 file extension),
- Insert it into InDesign using the Media panel.
There's a Place Video from URL option in the upper-right menu within the InDesign Media panel (Window > Interactive > Media):
Inserting video into InDesign via embed code
If you're using a service that gives you embed code instead of a URL (i.e., code containing an <iframe> tag), you can insert it into InDesign using Object > Insert HTML...
For more, see this article on Adding Audio & Video to your digital publications.