As an end-user, you cannot multicast across the Internet, unless using a tunnel.
As a larger organization, like a video provider or an ISP, it is certainly possible to forward multicast packets across their domain boundary (i.e. across an Internet).
Essentially, to forward multicast packets within your own domain (or Autonomous System, AS), you use the PIM protocol and multicast routing.
To forward those multicast packets to another AS (like another ISP), you would need a peering agreement with them and use the Multicast Source Discovery Protocol (MSDP), configured on both ends.
While you won’t propagate your multicast across the global Internet, crossing network boundaries with multicast packets is not impossible.
PIM and MSDP are advanced, CCIE-level concepts. Here is a good Cisco white paper about it :