If you are hosting the video on your server/shared server
Place the embedding code in an external JavaScript file. This makes the video file difficult to find. Write this JavaScript by splitting up the location of the video into different variables spread throughout the code, or by referencing variables from other JavaScript files used elsewhere in the web page). This will just make downloading difficult, but not impossible.
Use a streaming server:
These make it almost impossible to download but the cost of signing up with them is generally very high.
Examples of streaming servers:
RealNetworks Managed Application Services (MAS)
Apple Quicktime Streaming Services
Macromedia Communication Server Hosts