Recently I have released a new version of Xiph.Org Ogg Codecs (grab it from here), this new version includes a few Theora and FLAC bugfixes, better Windows 7 support and a Technical Preview of the <video> tag for Internet Explorer.
By Technical Preview I mean only basic playback, no seeking, no controls, no HTML5 interfaces.
I have made a screen cast showing this feature:
To enable <video> tag for Internet Explorer you need to add xmlns="http://www.w3.org/1999/xhtml/video" attribute.
Edit: It works only when Internet Explorer is in Quirks mode
Mozilla's Bug 435339 - DirectShow backend for HTML5 video element - has helped me a lot, to say the least (thank you Chris Pearce).
The webpage used in screencast is: http://people.xiph.org/~maikmerten/demos/bigbuckbunny-videoonly.html with the xmlns attribute for <video>. Note that I have copied the webpage and the movie on my webserver, that page does not have the xmlns attribute.
Hope it works for you as it did for me in the screen cast above :)
Download the 32bit version installer from here (1,09Mb).
Edit: In order to use the <video> tag on Internet Explorer 6.0 and 7.0 please read my first IE <video> tag blog entry.
I have found out that there is an incompatibility between Windows XP and VMware while using the DirectShow Video Mixing Renderer 7 filter.