There are plenty of threads on this but can be difficult to locate sometimes.
The phone will play several video types but some formats will require specific players that support it. The stock video player and most video players play mp4. If you want to go this route, you'll need something on your PC to convert and format your videos. There are lots of freeware you try, however I'm using DVD Catalyst because it was only $10, very easy to use, lots of features, and has specific settings already defined for the Incredible. I simply tweak the audio and video quality to suit my tastes. I have a thread on using the DVD Catalyst if you're interested.
Just create a folder on your SD card named VIDEOS. The stock video player is in PHOTO. Launch Photos and your videos will be listed in here. Or you can download some other app if you wish.