Those raw_input() calls are just there to pause the output so that he could talk about what happened.

The for loop is to show what's in the outermost list: some more lists, which you can iterate over with a nested loop.

You're right about which line is the concatenation.

Hope you don't mind the drive-by comment. I saw this community and couldn't resist watching one of the lectures. I didn't learn much about computing (luckily - it's my job!) but I learned how to approximate a square root.