If you add a movie to various iWeb pages, iWeb puts a copy of the movie into each page's files. It doesn't use one file for all the pages. That's why it reloads each time.
So what you would have to do is upload the movie to your server (Basic web knowledge base FAQ on my website) and embed it into your pages by using the appropriate code
Codes are found on my site here:http://iwebfaq.org/site/iWeb_Movies.html
Since this way the same file is used for all the pages the browsers should cache it (remember they already loaded it) and not reload each time. Do far for the theory. You have to test whether it works or not.