My parakeet (which I have only had a week) did this when he wanted out, he would run from side to side to get my attention then jump onto the door as I approached and hang there as I opened it then hop onto my finger smile

He's stopped doing this now though frown

I got a video of him doing it one time, it's not the best example and I don't think he's as fast as yours but its still pretty funny.
http://www.youtube.com/watch?v=xSeKL76BlQU