Data warehouse course is a discipline that includes many subjects. There are theoretical teaching and practical teaching in this course. This paper introduces a new teaching method that is called an embedded teaching method. This method is applied to the data warehouse course successfully. Firstly, the ideas of this method are presented. Some associative knowledge in other courses is integrated to the data warehouse course. So teachers impart a whole knowledge structure and system to students in theory and practice. Then specific teaching steps are shown with examples. In the end of the paper, advantages of this teaching method are summarized.