^ don't know the specifics about veoh player, but i'm inclined to believe that it plays from the original file, without making any duplicate files. so if you delete the video from your computer, the video is gone.
if veoh keeps a record of it (in its own database, say), it might still be in veoh's list of videos, but if you were then to go and try to play the deleted video, it'd probably give you a message saying it could not find the file. if veoh is smart, it'll automatically double check which videos are still around, and clean up the ones that you deleted.