You have a couple of choices to setup AirVideo. And yes, you need to install it on your computer first and share out whatever folders/files you want first.
First method to connect is via IP address of your host computer. This method only works if you are on the same LAN.
Or alternatively, if you enable the access shared folders via the Internet option (sorry forgot which tab it is on the server settings), it will give you a server PIN. I believe the latest version, this option is still in beta, but I've tried it and it works. You can access your content from anywhere with this. Don't forget you may need to forward the AirVideo port on your router though.