Get the plugin at http://github.com/augustl/live-validations/tree.
The screencast does not explain installation. Take a look at http://wiki.github.com/augustl/live-validations for installation instructions.
I should mention that in this screencast, I use the jQuery Validations adapter (there are adapters for many different live validation libraries). The output varies from adapter to adapter, so if you use e.g. the livevalidation.com adapter, it obviously won't look and feel _exactly_ like this screencast, because of differences between the validation libraries.