This video is based on an older version of Wordpress (3.1 version). While the interface looks different, the instructional process is very similar. When viewing your settings menu, you may notice privacy tab seen in this video has disappeared. Not to worry, you can still change your privacy settings. Wordpress combined privacy into the Reading tab as a part of the update.
Simply select the Reading tab and scroll down the page until you see the section with Site Visibility options, as seen in this video.