That is a Null - it is a target that the leg bones are constrained to so that, instead of moving each bone individually to simulate a walk, you simply move the Null where you want and the leg, thigh, foot bones will follow it to be at the right place.
You do not "assign" CP's to a Null (normally).
I am sorry the video didn't work for you. The same exercise can be found in the manual that came with your A:M CD
I don't know how much experience you have with A:M, but rigging a character properly takes experience. That is why A:M made it easy with a rig that can be applied to a model (usually a human/oid), so that you don't have to go through the time consuming process of building a rig.