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I think you need to activate the advanced mode (File >> Advanced Mode). Apparently, detailed sprite properties aren't shown in the simple mode you use at the moment.
Also, the advanced mode is recommended in general; it's good to learn about various features as early as possible (especially GML and scripts). ^^
@Alice: Activating the advanced mode surely gives you the options to change collision masks and some other options (at least in GM8) but it does not change the way sprite properties' dialog looks like. ^^'
@Travis Baker: In no way does it look like native GameMaker IDE to me. Perhaps the author of the YouTube video is using a third party IDE. Which one? Dunno. I can't help with that, so... contacting the author should be helpful and a good idea. ^^