Ok, the URL widget is only for Youtube and Vimeo videos, so they require a Youtube or Vimeo URL of a video that is not private (public or unlisted will do).
So you have two options: put your video on either youtube or vimeo, or use the HTML widget with custom code to add an HTML5 video. it's more complicated, as you need to make 3 versions of your video to address all browsers and mobile browsers: MP4, OGG and Webm. You also have to declare a cover image.
You can search for HTML5 video on this forum or on google to get the code you need and infos about how to compress a video for todays' web. I recommend Youtube if you can, it's free and so simple to use.