You'll find yourself headed toward a large window that guides you down a corridor, and then to a large pedestrian walkway connected to another nearby building.
Once you get to that next building, you're effectively still in the station. It's a large electronics shopping center, but you haven't actually gotten to where you're going yet. Head to the other side of the building, down the escalators, and out.
Cross the small street and parking lot that'll be in front of you and under still more futuristic pedestrian tube walkway. Continue down the street and you'll soon see where the entrance to the video game market is, on your left, and somewhat underground. That's the very end of the video. Before that you can see the buildings across the intersecting street: that's the electronics market. Like all of Seoul's indoor shopping centers full of little private stalls and spaces, it's somewhat labyrinthine. You probably won't be getting any warranties or anything with what you buy, either, so proceed to haggle with old dudes in basement kiosks cautiously. Usually they're quite nice and helpful and you can get pretty good deals.