Murali,
keeping videos on a separate server (specially in your case as average size is 300MB) is a sensible decision.
you can, use a third party player like JWPlayer and make use of its code to embed in the Moodle, it wont be using embed video option, but a small code that is required to run JWPlayer inside moodle, the file URL will then be replaced by something like "http://videoserverIP/video.mp4".
Other recommended solution is using third party video streaming site, like Vimeo.
You dont have to read through documentation for learning how to install Moodle manually, just go through these videos and you'll be good to go. They are built using CPanel (Control Panel on Linux hosts), watch in sequence.
Video 1: http://www.screencast.com/t/7di1TIv9NH
2: http://www.screencast.com/t/isCbx6rnVd
3: http://www.screencast.com/t/QfsROwJCz
4: http://www.screencast.com/t/p59D8pnX8h
5: http://www.screencast.com/t/BKK0rRLd1
6: http://www.screencast.com/t/ZtdiUTSrItGX
and as well this video as someone asked to show how to create duplicates on Moodle instances.
http://www.screencast.com/t/aLYYluO8qs
Verena, this has nothing to do with your query, as Rick has already assisted you in that, but, you shouldn't have installed moodle from the script.
I don't know weather it has to do with script installation or your theme, but I have seen slow moodle sites and your's has just broken the record, 52 (that's FIFTY TWO) seconds to load the main page??? and you dont even have image on main page.
May your visitors have patience in abundance!
In addition to what Emma said, as well delete the "localcache" folder, as sometimes just deleting the "cache" folder doesn't work.
and dont worry about deleting the folders, as soon as you hit refresh button in browser, they will automagically re-appear.