The video you reference is called "How to install psexec".
What a worthless video. PSExec doesn't need to be "installed". You could download it from https://live.sysinternals.com/Tools/ and run it from whatever location it is stored.
You could also try running this:
net start WebClient
(Although, that method may be slow. I've also heard that firewalls can often prevent that from working. On other system, though, it works like a charm.)
The bottom line is that since PsExec doesn't require any external data files, you simply need the operating system to find the executable. That can be done by placing the program in a location that is already in the PATH, or creating a new folder and adding that folder to the PATH, or just specifying the entire location right on the command line. (Use quotation marks if needed, e.g.,
"C:\My Location\PSExec.exe" ...) The big difference is just going to be a matter of "ease of use", and there may be different opinions on what is easier, so simply do whatever you find easier.
For instance, some places might have C:\Windows locked down so that a standard (non-"administrator") user cannot write to that directory. If you are using such a computer, making a new directory may be easier. Placing that directory in the PATH is completely optional, but can free you from needing to type the PATH. If you only plan to run the program once and then deleting the program once your task is finished, then fussing with the PATH is a waste of time. Ultimately, the best advice I can give is to do whatever seems easiest for you.