You first need to have version 4.5 of the operating system installed. If you haven't upgraded it you are probably running 4.2, which doesn't support video recording. Search the forum for the proper upgrade/downgrade procedure, there are hundreds of posts about how to do it. Since AT&T has released an official 4.5 you can also go to them for technical support.
You must download the new 4.5 OS, then the application is included in the upgrade. However, videos take up quite a bit of space so I'm not sure exactly how well they send through e-mails. Experiment.