Cool - you found the example page. This is an unlinked page; a page that is a part of the site, but doesn't appear in the navigation above ^^^. You can see it says NOT LINKED to the left <<<, and you can add one by pressing the +. These are what the thumbnails are gonna take you to. You can add videos real easy but using those grey pointers I showed y'all last time - with those you can add anything, and all the details (like opening in a new window etc.) are included. 

Hope you got that x