My ISP, it is banning somehow the link to the videos.
It took me so long to see it, just because I just simply couldn't imagine that would be the reason, but after read your comments I realised, thanks.

Seeing the 'activity window' -I have screenshots- of my browser I clearly see that the connection established to the videos is somehow redirected to http://118.175.8.61/ which is a Block Page of my Thai Internet Provider T.O.T -whois ip -
...keep looking info about and I found that:
http://asiapacific.anu.edu.au/newmandala/2010/05/21/new-mandala-temporarily-curtailed/
and that:
http://www.bangkokpost.com/business/telecom/178872/riots-spark-frenzy-on-net-pages

as an examples of what happened.
I can't understand why this is blocked, but looking carefully into it I can neither understand WHY they decided to ban first, or many other things related.
Basically I should try to ask to mi ISP about it...but I'm not sure if it worths it.

Anyway, thanks again for your quick answer and support.

You say you can't see the vimeo in the example? I think then, the problem is on your end somewhere, either in your connection or your virus scanner or firewall. Also, try the cookie dance:

Log out, clear your browser cache and cookies, and fully restart your computer.

Different movies, all them same. - to check it´s allowed to share them-
Any of these examples

http://vimeo.com/12410978
http://vimeo.com/10734762
http://vimeo.com/11723415

I also look into many forums.Google it. Here, in the wordpress forum. There in the Vimeo one. Google in many other places.
I followed the wordpress info here http://en.support.wordpress.com/videos/vimeo/
-In where i can´t see the embed video as an example ¿!?-

[vimeo http://vimeo.com/240975%5D

or

[vimeo 240975]

Using both, brackets methods, and also embed the code (copy and paste it) in the HTML edit mode as most users recommend.
I did it.
But same.

I keep looking, and...also make sure of my flash player, update it, and re-install it.
Using Safari (mac user) and also give a try with Firefox and Chrome latest versions.
Same, and same, again.

I finally tried in Windows XP, windows 7 and Ubuntu 10.04 trough Parallels desktop, in Internet Explorer 8 and Firefox... and same.

Any help??
If I try to embed the same videos,and in an other Blogger blog account i have no problems to embed these same videos.
¿¿??

I also see that many other blogs (wordpress) have the same problem. ¿?
So i can't understand what's happening that it's not related to the browser, to O.S, to the Flash Player, to the video linked, ¿?????
Thanks,

Click "embed" on the vimeo, then when it pops up with the embed code, click "share" and copy the url.

When I just did that, I did not even need the [vimeo etc ] brackets.

You can't see the video until you publish or save draft/preview.

What am I missing?

You'll want to see this article instead: http://codex.wordpress.org/Embeds (the Codex is the support.wordpress.com of self-hosted blogs and is very helpful)

You'll also want to post at http://wordpress.org/support/ next time as that's the place to ask for self-hosted WordPress help. :)

I just get "[vimeo http://vimeo.com/999999%5D" appearing as text in my blog. It doesn't matter if I use the html or the visual editor. Always works the same way.

The embed video button doesn't work either - never has worked for anything I've tried. I've had to use some kind of plugin to do youtube videos.

Can anyone tell me how to fix this?

Thanks.