Not a video, but here are some good instructions, along with a chart on sizes for common blocks:
http://quiltbug.com/articles/on-point.htm
I agree with the previous posters. Once you've cut the setting triangles, it's no different from assembling a regular quilt top.
I went to youtube, searched on "setting blocks on point" and got several hits. Here's one:
http://www.youtube.com/watch?v=CYHuXP17POo