I've made it a few times- I wouldn't recommend it if you've never worked with filo dough before.
The concept is taking a large piece of a beef fillet, brown it on all sides to about medium rare, wrap it in prosciutto (a type of cured ham), cover ground mushrooms, then wrap it in filo dough. I cover mine with yellow mustard (traditional English method), or you can leave it plain with some coarse salt on top. Score the dough so it has vents, and bake it until it's well browned.
You have to slice it into thick slices or it'll fall apart. If you do it right, you should get about two servings out of each one. It's a very interesting dish, but it does take some practice to get one right.
EDIT- LOL- I just watched that video and that guy did everything I did. I must be doing it right heheheh.