Do not save in compatibility mode. While saving the workbook, select XLSX format if you are running Excel 2007 or above. If you save the workbook in compatible mode, you may not see the videos working when you re-open it.
I even downloaded the chandoo's sample file on this topic, but still not able to view the you-tube video. I am still unclear with the compatibility mode. Please shed some light, I am really looking forward to learn this concept to see what I am doing wrong here.