There is a field on the extrude dialog that specifies how many units to extrude the face by. He has 20 on the tutorial, but you don't have to follow the tutorial to the letter. If 20 looks too thick, use a smaller number. Just experiment with it and have fun. When you use drag/select to select all the faces, you can use the middle mouse button to deselect the top and bottom faces. There are a bunch of good tutorials on the forum, as well as an FAQ. Read/watch those when you get a chance and they'll make 3D life easier. (Most members will refer you to those after beginner questions like this, anyway.)