Ahh. Yes there is a way to do that (I have not watched the video). There is a simple Template Tag for it,
I think you pretty much can use this example code, from the Codex (which is the online Documentation of WP)
<h2><?php _e('Categories:'); ?></h2>
<form action="<?php bloginfo('url'); ?>" method="get">
<?php wp_dropdown_categories('show_count=1&hierarchical=1'); ?>
<input type="submit" name="submit" value="view" />
Just put that code in your theme's sidebar.php
Make sure you make a back-up of your theme files before you mess around with editing stuff like that. That way you can go-back, in case it doesn't turn out like you expect. Enjoy!