It really depends. Windows will show both the cases below as "video memory"
If you've got a laptop, or an integrated video card in your motherboard or cpu, it's likely sharing RAM with your main system memory. The gpu is reserved a portion of the main system memory, and this is what will be displayed as your video memory. This is quite slow for a number of reasons, and will have both the gpu and cpu fighting for what little memory bandwidth there is.
Dedicated video ram is actually on board the GPU, and does not require access requests to go out across the motherboard, to the main system memory. This is generally speaking a lot faster, and most high performance graphics cards will use RAM such as gddr5, which is incredibly faster and higher bandwidth then the standard ddr3 memory you'll get on your motherboard.