I need help or instructions on how to add a video on one of my articles.  I am using joomla 1.5, and I downloaded and install the ALLVideos plugin, but I don't know how to set it up.  I appreciate your help.

Take a look here please:
www.joomlaworks.net/content/view/16/42/
www.joomlaworks.net/content/view/35/41/

For a video on youtube.com, for example with a url www.youtube.com/watch?v=DV81bAghxBU  the tags must include this video id: DV81bAghxBU
So the only thing you must do is enable allvideo plugin, go to an article of your site and write this: {youtube}DV81bAghxBU{/youtube} and the video will display via youtube in your site inside the article you have chosen.