This video shows how a module can integrate with Drupal's theme system by exposing a new themeable item to the theme registry with hook_theme(), and then creates a function in order the customize the output of that themeable item. The then video demonstrates how the theme layer can override the markup defined with theme functions at the module layer.
Check your version
This video covers a topic in Drupal 7 which may or may not be the version you're using. We're keeping this tutorial online as a courtesy to users of Drupal 7, but we consider it archived.