Hi Yousaf @ysaf ,
Grease Pencil is not a Mode. Watch the Lesson again.
You have a Mesh Object Selected and Meshes have those 6 Modes you see in your Screenshot. You are in Edit Mode.
Switch to Object Mode. You can then Delete the Sphere Object (if you want) and SHIFT+A > Add > Grease Pencil > Stroke (or Blank, or Monkey).
