What does he mean when he says the "assembly way", I thought it was all HLSL?
HLSL is an easier (higher level) method of implementing shaders. Prior to HLSL you could just write GPU targeted assembly and assemble it the same way HLSL is compiled now. The assembly methods still exist and function correctly, but they don't really allow you to do much that HLSL doesn't unless you're really really into fiddling with individual registers and such. It's not even the same kind of assembly that you'd write for the CPU - it's a specific assembly language developed for use almost the same way that you'd use HLSL. In the end it's just a more complicated way of doing the exact same things.