You need to create a page for the portfolio, so go on Pages -> "add new" and create a page with the "Portfolio page" page template. This custom page template will display all the Works custom post type entries.
The Works custom post type comes with a custom taxonomy named Type; each type of work inserted corresponds to a menu voice in the Portfolio page filter menu.
The Works custom post type also supports videos. If you want to link to a video, paste its URL in the ‘Video URL’ custom field. Besides this, you can overwrite the video thumbnail, shown on "Portfolio" page, uploading your new one using "Work video replacement thumbnail image" field. You also have the ability to replace the video thumbnail as background uploading a new image using WordPress "featured image" feature.