Go to your dashboard, reviews page. (The page that lists all your reviews) Find the review you want to add video to and in the right hand column is a link saying "add video". Either upload it or put in your embed code from youtube, vimeo, blip.tv or vzaar.
If you upload, wait for it to upload and tell you it's finished, then hit the next button.
If you embed, put in the code, then hit next.
Follow each screen, making sure to put in title, description and tags. When you get to the final screen, make sure you put in the link of your review page, then hit associate. If you don't do this, it won't show up on your review.