Well, there are a couple ways to handle this.
1) Use a proper streaming server like Windows Media Services or Real (PAIN)
2) Just give an HTML link to the file. (EASY)
#2 will work great for almost anything, the browser/media player will deal with it just fine.
The problems with it are that it will not stream it in variable bitrate, so it will suck for people on slower connections, but will work. It makes it real easy for people to save the file, which may be concern if their are copyright concerns.
99.9% of the time, just using http like in #2 will work fine.
Just remember, if you are doing this from your house, nobody will be very happy with the performance and you better hope that nobody posts a link to the video somewhere and pummels you.