If you don’t allow it, you won’t get the video from that source, simple as that. If you really want to watch the video, but don’t want the cookie, you can accept the cookie, watch the video, then go to your browser’s cookie settings and delete the cookie afterwards.
You can also delete all those Flash Player “cookies” by using the Flash Player Settings Manager. To see this manager go to Control Panel and click on Flash Player. You can delete individually or all at once.