The first level of this exercise is stepping in place and bringing your knees above the hips one at the time. You should engage your core and exhale each time the knee goes up, really pulling the low abs in on the exhale.
The next level is jogging in place, quickly switching your feet on the ground and bringing your knees toward the chest as high and as fast as you can.
Stay on the balls of your feet the whole time and land your feet softly. Make sure you keep breathing. Try to exhale each time you lift your knee up. You can extend your arms at shoulder height, hold them in front of you to make sure that you lift your knees high enough or you can move them as you are running.