Hi welcome chinagaz. I dont think there is any video documentation.
Chinagz, Instaaling elgg is not a tough job, it will take only two minutes, in most servers. Just download>unzip>upload>go to your domain. If you have any doubt, use Elgg wiki as quick reference.
Video Tutorial :http://www.youtube.com/results?search_query=elgg&aq=f or http://www.youtube.com/watch?v=16CnSl7zbAY&feature=PlayList&p=11B5EA65A9F40321&playnext_from=PL&playnext=1&index=1
Still you find its difficult and you need proffessional support, drop us a mail.
Regards, Team Webgalli
http://webgalli.com
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