So you're moving from MultiBit Classic to Electrum. The video by the MultiBit team "was" very good... when it was released.
Unfortunately, some options changed in Electrum in the newer version, so the method for importing your keys no longer works... the good news is that you CAN still import your keys, you just have to do it in a slightly different way.
New way needed for Electrum v3.0.3:File -> New\Restore -> Import Bitcoin addresses or private keys
Old way as shown in the video (for Electrum v2.9.3):File -> New\Restore -> Standard Wallet -> Use public or private keys