Arnold Schwartzenegger is joking and making references to his roles in the "Terminator" movies, which all his fans know, and which viewers of the video are supposed to know.
The "Terminator" is a cyborg who is programmed to commit assassinations.
Schwartzenegger was once a famous bodybuilder and won the "Mr. Universe" title. When he was young, he was physically very attractive, sexy, for which there are colloquial phrases like "hot," "smokin'", or "sizzlin'"
He says he wants sunglasses and ask if they will protect him against "shotgun blasts." Apparently the wounds on his face are makeup for his role in one of the films. We are not sure what he is looking at when he says "I think they're sizzling." My guess is that he is admiring a picture of himself and pretending that the scars on his face make him look sexy.
Very like the things that are making his fans scream with delight and run away in pretended fear are lines that he says in the movie.