The Cloudbreak version used in this video is Cloudbreak 2.7.1.
If you are using a corporate Azure account you may be unable to perform some of the steps (such as role creation and policy assignment) by yourself and you may have to contact your Azure admin to perform these steps for you.
If you are using a Cloudbreak version different than 2.7.1, refer to the equivalent documentation for that version. You can access Cloudbreak documentation from the Hortonworks docs page at https://docs.hortonworks.com.