In Blender 2.66.1 "Pick shortest Path" is not working although it's active in the default keymap settings:
CTRL + Right Click should do the job but nothing happens whereas CTRL + Left Click creates a new vertex as it is supposed to do.
That's weird...
It does work in Face Select Mode though. Maybe with Vertices and Edges is just a newer, more advanced thing.
Thanks, spikeyxxx, I've just seen that Kent is in "Edge Select Mode" of the same Blender version when demonstrating "Pick Shortest Path" from 4:00 to 4:16 in his video. And it works in my Blender 2.66.1 copy as well as it does in "Face Select Mode" like you described it. Only "Vertex Select Mode" doesn't offer this possibility. Blender 2.67 behaves the same but Blender 2.71 allows "Pick Shortest Path" in "Vertex Select Mode". I suppose that this has changed with the transition to version 2.70.