This has nothing to do with mercury's density, nor does it have anything to do with pressure, as many of the comments suggest. It has to do with intermolecular forces and capillary action.
If you pour mercury in a graduated cylinder, the meniscus will be downward sloping, in contrast to water, as this image shows: http://www.portageinc.com/community/pp/images/milk3.jpg
This is because each molecule of mercury is more strongly attracted to other molecules of mercury than it is to glass molecules, so around the rim of glass, the mercury molecules will pull themselves in closer to one another.
The same is true with mercury and salt. Molecules of mercury will be more attracted to other molecules of mercury than they would be by other molecules of salt, so they huddle in. If you had a big salt glass and poured mercury into it, you would see the same downward sloping meniscus that you saw in the image.
Let's go back to this video, with the bed of salt and the mercury resting above it. The attractive forces that the mercury molecules have with other mercury molecules, coupled with the normal force that the salt is exerting on the mercury (if you don't know what normal force is, it's the same force that resists gravity when you sit in your chair. Don't you feel the chair pushing against your butt?) is enough to overcome gravity. Like a drop of water resting on a bed of dry sand, the mercury rests on top of the salt.