About Video Formats and prevention of download of videos
If you don't want your stuff to be stolen, don't put it on the internet

People need to be able to watch your video on their computers. For that purpose, it needs to be downloaded to their computers. If it's on their computer, they have it. 

There are ways to protect your video, but those are not failsafe and will inevitably result in a poor user experience. If I visit your site to watch a video and find that I need to install a DRM plugin before I can watch your video (cough Silverlight cough), I close the tab and don't come back. By being overly protective of your video, you are hurting your own views and you don't actually stop people who really want to steal your video for whatever reason. The most intricate of DRM systems can't prevent me from simply using a screen capture software. 

Don't worry, be happy

Just put your video on YouTube or Vimeo and embed it into your site. This will also benefit your views, since your videos can get recommended to users on the hosting site, so they potentially create traffic for your website as well. Yes, people can download the videos. In fact, it's legal to do so in most jurisdictions (in Germany for example, it would be called a private copy). This doesn't give them the right to share it anywhere else and if they do, you can sue them. If you feel so strongly about protecting your content, you can even hire someone to search the internet for illegal copies of your video and have them sue the unlawful uploaders. Yes, I know, you can't search the entire internet. There may be copies of your video floating around on the deep web that you don't know about, but who cares? If it's hidden well enough that you can't find it, your viewers won't find it either. 

You see the same thing in the photo community. People slap their huge ugly copyright notice, website link or logo on their photos to 'protect' them. But the people that care about that will just crop the copyright notice or blur it out. So the photographers make them bigger, have them cover the entire photo until it's barely visible any more. In the end, they are just damaging their own content. Don't do that. 

Don't host your video yourself

It never works as well as a dedicated video hosting platform. It just doesn't.