Those happen out west all the time. Out there they call them "Dust Devils" and they can get pretty large, as you saw in the video.
Several years ago I was driving through Nebraska with two bus-loads of teenagers when we saw one of these beginning to form in an open field next to the highway. We slowed the buses down and watched it fully form, whip up a bunch of dust for about two minutes, then it was gone... Pretty fun to see!
Dan