If you're using the latest version of Illustrator CC, you'll see more than just the anchors and paths shown in the video; you'll also see "Live Corners," additional points that let you control the shape and curvature of the corners. You can learn more about Live Corners here.
To change the shape of the rectangle, click the Selection tool and drag either the end points (anchor points) or the paths. Here are a couple of tutorials that will help you get the feel of these operations.
Hope this helps!
Thanx Rita .... but I am using CS6. I think this may be the problem?
Are there specific tutorials for CS6?
There aren't tutorials focused exclusively on CS6. Let me know if there are any features or topics you'd like to learn more about, and I'll gather some tutorials for you.