As a native speaker I first thought "What are you talking about? The first sound is clearly /w/!" Then I listened to it another 10 times, at which point I could start to hear the /h/ which you have correctly identified in the clip.
"wh" used to be pronounced /hw/, and sometimes still is, but that sound is becoming rarer as it is being replaced by a plain /w/. "wh" words actually used to be spelt "hw" too! The first word from Beowulf, the oldest surviving long poem in Old English (Wikipedia link), is "HǷÆT" or "Hƿæt". The second letter (Ƿ/ƿ) is wynn and represents /w/. It was later replaced by W/w. In modern English letters the Old English word would be written "hwat" but in Modern English the word is now spelt "what".
I (now) hear the first word in that clip as /hʊd/, like a very fast "hood". The whole phrase (if I slow it down to quarter the speed) sounds like /hʊd.də.ðeɪ.kɔl.ʌ.wɒp/ ("hood d' they call a wop?"). When played at normal speeds the /ʊ/ contributes enough of a "w" sound that a native speaker will hear it, even though it's not present. See semivowel on Wikipedia. The two "d"s from what ("hood") and do are so close together that you may or may not be able to distinguish them as separate sounds at normals speeds, leading you to hear just /hʊ/. Native speakers hear what they expect to hear, not necessarily what was actually spoken! For instance, I also hear "whopper" even though he only says "wop".
I had an English teacher in high school called Mrs. Whittaker. She insisted that we address her as Mrs. Hwittaker, not Mrs. Wittaker. As mentioned before, pronouncing what as /hwɒt/ used to be the norm, but is increasingly rare nowadays. You might hear some but not all speakers pronounce it that way, and not necessarily consistently. One speaker might say it that way 90% of the time and another speaker only 10% of the time, whereas most speakers wouldn't ever say it that way now.
