A panna means putting the ball through the legs of an opponent. It's usually more well known as a "nutmeg".
The tutorial video will give you an insight of how to get a panna, but it's not the only way to do so. I find that the easiest way to get a panna is to use the "Stand-on-Ball" move (press down RS), and then push the ball in the direction of an opponent. You should be able to get panna quite regularly doing it like this, as long as your player is reasonably skilled. I even get pannas with goalkeepers so it's really not that hard.
Now, to score with a panna, however, requires some luck. You don't need to nutmeg a goalkeeper. Instead, this achievement requires you to shoot through a goalkeeper's legs. It's pretty difficult to pull this off deliberately, but as long as you play enough, you should get this by luck.
It seems like when a goalkeeper rushes you, it's easier to panna him. You may want to try to create more one-on-one chances to make the goalkeeper rush you.
This achievement can also be done with a friend, local or online. Get your friend to press Y when controlling the goalkeeper so that he rushes, thus increasing the chances of a panna goal.
PS: I got this in a 2-vs-2 panna game (this game mode has no goalkeepers), slotting the ball through the legs of the defender who was guarding the post. So it doesn't need to be a goalkeeper that you've to do this on.