How play a movie in a frame?

I don't get any movie to play in my website, please help me out here:

I don't know what would be best: avi, mpg, mov, rm, ....
But mpg seems to be the best quality and smallest size, only I don't
know why this html-line shows a Quicktime-icon instead of playing the
movie under IE6/XP.
Why should I need Quicktime using IE6 on a XP-system, just to play a
mpg?
The mpg does play in my mediaplayer....

<embed src="test.mpg"></embed>

Michel