I feel so bad for her....and she didn't have it on that long, either. Probably set way too high.
Re: her comment about not using the clamp, because it makes a little "kink" at the end...she's rolling it backwards. You can learn this by taking a hair curler (turned OFF) and something like a shoestring...clamp one end, and wrap the hair IN THE DIRECTION YOU STARTED WITH.
A Paint image I made:
And, remember to use anti-heat spray...it really does help prevent heat damage (but not catastrophic events, like this one).