In the video the steps are:

Set the dial to “P” “A” (aperture priority – per Helmut’s comment)

Go to “Menu”, Settings (pencil on the left), and scroll down to #12 (BKT Set), press the dial right, Go down to AE & Flash, press the dial right, Select 2.0 Step, and press the dial right “OK”.

Now you will see a BKT setting on your top LCD panel that looks like this:

Take 3 photos (each little black bar disappears once you take them in turn). Voila – you have the photos you need for your HDR.

The 3 consecutive photos taken from the shot in the video are here:

Each one is taken with a different exposure setting – the EV Steps. Once you combine them all in HDR processing software (I use Photomatix) and tweak the settings, the resulting photo should look like this:

Maybe next time I’ll take a photo of something more exciting than some garbage cans and a driveway

UPDATE:  here’s an amazing HDR video tutorial my friend Trey did! (11 hours of video instruction – this guy is the real deal)