I asked this because it took me a lot longer to find the answer than I would have liked. If I'm leading other newbies astray, please correct me.
Apparently since the making of the screencast, NHibernate now requires you to specify the ProxyFactoryFactory, which I don't know what that is yet, and if you're searching for this, you probably don't either.
Add this to your hibernate.cfg.xml:
<property name="proxyfactory.factory_class">NHibernate.ByteCode.Castle.ProxyFactoryFactory, NHibernate.ByteCode.Castle</property>
Also add these files to your lib\NHibernate folder
NHibernate.ByteCode.Castle.dll
Castle.Core.dll
Castle.Core.xml
Castle.DynamicProxy2.dll
Castle.DynamicProxy2.xml
And add a reference to NHibernate.ByteCode.Castle.dll to your DataAccessLayerTest project
I may be way off, but after a couple hours of digging, I'm able to progress to the next screencast, and I hope you are too.