Ups! I think the video is missing the part where you change the Install floppy to be used on WinUAE. Wait a minute and I'll search for some help with this.
This guide: http://wiki.classicamiga.com/How_to_..._within_WinUAE
I think he has missed this part:
Put the WB3.X install adf into the WinUAE DF0: drive (make sure you untick write-protected) and boot WinUAE.
It should boot into Workbench.
Open the ADF/floppy disk (normally called Install3.1).
Open the HDTools drawer.
Click ONCE on the HDToolbox icon to select it.
Now right click and select Information from the Icon menu. This should bring up a new window.
In this new window, in the tooltypes section it should have a line saying: SCSI_DEVICE_NAME=scsi.device
Change this to: SCSI_DEVICE_NAME=uaehf.device (make sure you press return)
Now close the window by clicking OK
Double click the HDToolbox icon.