Your turn of phrase is confusing me a bit. As Trancer asked, maybe we need some more information about your devices.
The video does skip over the connection process a bit, but the manual describes the process. Both the manual and the videos are a little out of date, but the Quick Start Guide shows the process simply using images. My response over here may help a bit: http://community.wd.com/t5/My-Passport-Wireless/wi-fi/m-p/870255#M2693
Note also that the first time you connect to the MPW, it behaves a little differently, as it will require you to set a wireless password and let you change its name, and will want to restart once the password is set. I assume you have already been through that process using your Mac Book.
Basically, are you sure that your iDevices are connecting to the MPW wireless network, and not your home wireless network?
You connect your iDevices to the MPW in the iDevice Settings → Wi-Fi section. You should see which wireless network your iDevice is connected to just below the Wi-Fi On/Off switch, at least in iOS 7. Unless you changed the name during setup, the MPW wireless network would be called “MyPassport”. Make this connection first.
If your iDevice is not connect to “MyPassport”, that is your problem. If the “MyPassport” wireless network shows up as an available network, tap on it to connect. If it doesn’t show up the try turning off your iDevice’s Wi-Fi using the slider button in Settings → Wi-Fi, then turning it back on. That sometimes forces an iDevice to find a wireless network when it hasn’t, but should have. If it still doesn’t find the “MyPassport” wireless network, press and hold the Wi-Fi (WPS) button on the MPW for five seconds, until the Wi-Fi LED starts flashing. While this process is supposed to be used to have the MPW connect to a router, it can force the MPW to advertise its wireless network. When you see the “MyPassport” wireless network appear in the list on your iDevice, tap it to connect.
Then start the My Cloud App and it should find your MPW. If this is the first time you have connected your iDevice to the MPW, you may have to press the “Connect Now” button which is presented, as per page 22 of the User Manual.
There is a Wi-Fi section in the My Cloud settings page, which will show you how you are connected, but you don’t need to connect to Wi-Fi again in the My Cloud App. Your iDevice is already connected. What you can do in the My Cloud Wi-Fi setting section is change which wireless network the MPW itself connects to. To get internet access while your iDevice is connected to the MPW wireless network, for example, the MPW should connect to your home wireless network, or a hotspot in a hotel, cafe, etc.
