How to film on the Nikon D800?

I'm confused on how to start filming video.

You don't. It is a digital SLR that captures still images and video+audio to flash memory. There's no "film" involved.

Assuming your question is "How do you capture video on the Nikon D800?
Read the manual:
http://www.nikonusa.com/...800_EN.pdf
Start on page 59. After the preliminaries,
page 61: "Press the movie-record button to start recording"… Then, to stop video capture,
page 62: "Press the movie-record button again to end recording."

Remember, the D800 is a dSLR. Its primary design is to capture stills. It can do that well. Video capture is a secondary "convenience feature". The video it can captured can be very good quality - but the camera can overheat during prolonged video capture. See page 69.It is not designed to capture video (and audio). The electronics can overheat causing the camcorder to automatically shut down. It can't be used until it has sufficiently cooled - this can take a while.