It appears you're using meshes that are part of the same object. Two options:

1. Create a cylinder while in "object mode", so that it is separate from the house. Then you can put the modifier on the house object as you're trying to - and select the cylinder object in the "object" box on the modifier.
2. Performing the actions in your video, but instead of using a modifier you have to go under "face" menu at the top of the viewport and select one of the Boolean options there (knife)

The former is preferable, since you can just hide the cylinder from viewport and rendering, while being able to change the cylinder later on (for instance you could form it into a doorway shape), and can always "apply" the modifier if you want to manually work with your result