Here's the deal about this video. This is a band from the UK. Where they live, there are lots of public closed-circuit cameras which are used for security purposes. The band doesn't have the ability to shoot video. So ... they went out to about 80 different places, performed their song, and then petitioned under the UK's Data Protection Act (something like the US Freedom of Information Act) to get copies of the footage. Presto ... instant raw footage, which they could edit together to make a video.
An awfully creative use of modern pervasive technologies. :)