I've seen video files in various formats (MPEG, ASF, AVI) which will 
spawn a website when opened in Windows Media Player. I need to know 
how to embed such a shortcut into a pre-existing video file while 
retaining its original format. 

A quick search on Google using "embed url within avi file" returns
some answers. One I like to quote from:
http://www.multimedia-online.ch/html/soundforge_xp.html from the
"Other features" heading:
"You can even encode video, insert metadata command markers, launch
web sites, display captions, and embed URL flips into your audio and
video streams."
 
So, it is very likely that you need these kind of products (such as
SoundForge XP) to add shortcut to pre-existing videofiles.
 
Hope this help. 

ps. It looks like that you posted the question twice. :)