Now this isn't the best instructional video, but I watched through this series a few times and it served to demystify the roll cage building process to me anyway. At the very least it's an interesting watch.
frame horns
https://www.youtube.com/watch?annotation_id=annotation_662051&feature=iv&src_vid=CEXww1mlq9A&v=mycOQ1A0Ejs
Subframe connectors
https://www.youtube.com/watch?v=1_9O4fbrBsE
Starting the cage
https://www.youtube.com/watch?v=CEXww1mlq9A
Door bars
https://www.youtube.com/watch?v=pvvoMc1ig0M
Frame reinforcement
https://www.youtube.com/watch?v=cBbokZclb8I
Seat and window post
https://www.youtube.com/watch?v=g-JNd0t2zAM