you do nothing
Such a feature hasn't (and won't) been added to the core code, as Coppermine is designed to run your
own gallery, which is hosted at your
own server. But "thanks" for appreciating the effort we all spent for free in our spare time
If you need such a feature badly, it could be achieved quite easily as a plugin (e.g. there already exist the "Remote Videos" plugin, which can embed videos of e.g. YouTube, Vimeo, etc. and also elsewhere-hosted video files). Maybe there already exist a plugin or mod somewhere in our boards. Feel free to search for a solution instead of starting a support thread in the feature requests board.