That is because, likely, the code was
captured from W3Schools[
^] and you didn't bother considering the fact that they are providing the video from their own server (the path is relative to their own environment), and that will not work in your own computer.
There are many ways that you can make it run, first of them is to change the path to a video that you have on your own machine. Try this instead,
<video width="400" controls>
<source src="http://www.w3schools.com/html/movie.mp4" type="video/mp4">
<source src="http://www.w3schools.com/html/movie.ogg" type="video/ogg">
Your browser does not support HTML5 video.
</video>
This will work even from your own computer, because it will try to load the file from their server.
For a sample, see,
Tryit Editor v3.3[
^]