Definition of a sigma-algebra.
A playlist of the Probability Primer series is available here:
http://www.youtube.com/view_play_list?p=17567A1A3F5DB5E4
You can skip the measure theory (Section 1) if you're not interested in the rigorous underpinnings. If you choose to do this, you should start with "(PP 1.S) Measure theory: Summary" at:
http://www.youtube.com/watch?v=upISxgopsFU
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