Hi there.
What Andrew does in the video is save a whole bunch of pages to a single 'Session' PDF.
He then opens that in Photoshop manually and that way gets all of that content into photoshop in one go.
You can do that with the Session Menu and the various recording options.
The other way is to 'Switch' the current canvas as a bitmap or vector.
The switch menu allows you to quickly open the current Alchemy canvas in another user-defined application. The idea is to be able to quickly continue working in a more 'conventional' software application without losing the creative 'flow'.
http://en.flossmanuals.net/Alchemy/MenuBarSo yeah, first you have to select the application you want to use Switch Menu > Set Vector Application...
Then you Switch it, Switch Menu > Switch Vector
If you have selected Photoshop and it isn't working, let me know what OS and what version of Alchemy you are using.
Hope that helps.