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Please see also the hints below the video.
On Linux you have to run Wireshark as root (sudo wireshark). This is strongly discouraged. A better solution would be to add wireshark to a different group. You will find further instructions how to tackle this here.
You can find instructions how to install Wireshark on Mac OSX Mavericks here.
To enter the command "ping" on Windows, you will have to open a command line. You can do this by hitting the keys "Windows" + "R". A window will open, in which you have to enter the characters "cmd" (without the quotes).
The Dialog to select an Interface also looks a little different on the Windows version of Wireshark: To the left of each Interface, you will find a checkbox. Select this box to read packets on this interface. Multiple interfaces can be selected. To start capturing click on the "Start" button below the interfaces.
If you want to install Wireshark under Windows 8, please read also the following instructions.
Disclaimer: We cannot support you with your Wireshark installation. Please follow the instructions you find on the download pages. For further help, try to find current instructions on Google.