Can you start from the beginning again and please give us specific information as to what you are doing with the installation process? Your response is much too vague.
1) Are you using Rockbox Utility? What operating system (Windows, OS X, Linux?)
2) Are you certain you have an iPod Video and not an iPod Classic?
3) Have you installed both the bootloader and a Rockbox build?
4) If possible, can you supply us a photo of this "press select to debug" message so that maybe we can get an idea of what you're talking about?
If you're using an iPod Classic, there are extra (and different) steps you need to take to install Rockbox on that platform. Also, there is a manual you can look through
(look on the side bar to the left and click the "Manual" link) that describes both how to install and use Rockbox on nearly every device it's available for.
But first, please... details. Then next step: solving your issue.