Here are the screens you went through. Manage your choices (Left Option) takes you to a new screen (the second image).
Here you can learn how the information is used, accept cookies by selecting 'Continue using site' (= video player) or not accept them by closing the window from either one of the X-icons shown in the top right corner.
Since you selected 'Continue using site', you can go to your browser settings and disable the 3rd party cookies from there if you do not wish to play ads.
I was wondering would 'Continue watching videos' be a better choice of words?
I know what I pressed and that was the "Manage Your Choices" option.