That video was uploaded in Nov '11. This was the original instructions about how to move the unity launcher for 11.10.
Since that date, this was repacked as a PPA - the instructions of how to install can be found in this Q&A:
At the time of writing this, this PPA has not been updated for 12.04.
The instructions in the video were specific to 11.10 - both Unity and its components have moved significantly forward in 12.04. You will not be able to use the video instructions to move the launcher in 12.04.
The only solution (currently) - is to install 11.10 and use the PPA. If (or when?) the PPA is updated, then you can upgrade to 12.04.
Specifically to the error you are seeing - unless a typo in your question - this should be:
sudo cp ./* /usr/share/unity etc
note the spaces in the command are important.