The Yahoo tags just give some additional info and links to some items. The example really was sitting around in my folder, as I started working on this a bit back and lost track of it. The Yahoo tags may allow for a bit more control over display of some tag info, so I'll play around with it a bit more.
The enclosure tag is being transformed in this snippet:
<xsl:if test="enclosure/@type='application/x-shockwave-flash'">
<a href="{enclosure/@url}">See it Now Here </a>
</xsl:if>
It might be better to change it round as you like, as in:
<xsl:if test="enclosure/@type='application/x-shockwave-flash'">
<a href="{enclosure/@url}"> Click Here To View </a>
</xsl:if>
Again, it all could be cleaned up more, but it gives the general idea.
As far as using it to embed into a page, you would need to provide some code to do it. The basic chores of making the http request, and transforming the result is what the module does. I think someone did a YouTube module, but I'm not sure what the link or cost would be. To embed it, you would need to download it, and make it available in some fashion, and that's not possible with the Newfeeds (RSS) module as it is. One thought would be to take that feed using codebehind to download the enclosure, and present it on a page as a module. Sounds like an interesting challenge, anyway.