Own video player but the file is hosted in other website. how?

How can i play a video in my own player but the video file is hosted in other website? I saw some website doing this.

Like this website:Filmbx | Jun Kusanagi young fucks and takes facial full scene | Video Online . He has his own player and the video file is hosted in xvideo.com (you will know that the file is hosted in xvideo.com if you have "internet download manager").

Anyone know how to do this in wordpress?
I've been doing some research in google but i can't find answer. please help..