There are various methods to cast on a knitting loom, the method shown here is the Crochet Cast on. The Crochet Cast on provides a nice, non-loopy edge that works well for most of the loom knitted items: like socks, scarves, blankets--or any other item that has the first row showing.
If you are knitting a hat that doesn't have a brim/cuff, this would be an option to the e-wrap cast on method.
Step 1: Forming a slip knot
With your working yarn, form a small circle--the short tail of the working yarn should be at the top.