Add videos to gallery using embed code

Hello. I need to add a couple of videos to my gallery that have appeared on various news sites (ABC7, NBC, etc.). These videos have not been put on YouTube. It seems that the only way to get them from the news sites is by getting an “embed code” from the video, but I can’t find a way to input those codes into the Cool Video Player upload page to get the video into my gallery. Is there a way to do this? The URL of my site is test.thepathwayhome.org

http://ww.wp.xz.cn/extend/plugins/cool-video-gallery/