Just because something is made available on the internet doesn't mean it is not protected by copyright! Everything on the internet is covered by copyright and can only be used as licensed by the copyright owner or permitted under copyright legislation.
You can provide students with a link to legally available material on the internet, however you must not link to material on the internet that knowingly infringes copyright (such as may be available on peer-to-peer networks or unauthorised video sharing sites).
If you are unsure about whether you can copy material off the internet using one of the statutory licences, or if the permission given to you by the owner is sufficient enough, then it's best to provide students with the URL to the material.
Embedding Videos (e.g. YouTube videos)
When a video is embedded it is "ported" from the original server (e.g. YouTube). Therefore, no original material is reproduced or communicated from the server where the script to "port" the video is hosted.
You can embed videos in Moodle. However, you must not embed material on the internet that knowingly infringes copyright such as video content on unauthorised video sharing sites.