I would say, get used to playing the chord first. Then play it lifting up and putting down the first finger ("hammer-on"). Then maybe spend some time doing a slow slide from the open string (E) up to the F# with the first finger, keeping the third finger on the D (A string). It will no doubt be awkward at first, but relax your fingers as much as you can. Then speed up that slide with the first finger. He does a short, quick slide as he drops his finger onto the string. It's one of those things that will come without having to think about it - if you just keep it at it - and practise, practise, practise!

Try focusing on playing it at first as a two note chord with d and f sharp...without the slide. Then a person could just lift the first finger and drop it down on the f sharp or slide into the f sharp sometimes.

Thanks Old Scratch and Shawn! Old Scratch: that is an explanation that makes a lot of sense. I just edited my post, made a little video of me practicing...

Indeed that's a fiddly trick/tool/hack you'll need more than once.
D and F# are 2/3rds of a D chord. I consider it the I (one) in many D tunes.

You'll be doing it without thought soon enough.

I can’t tell if you’re already doing this but one thing that may help make it a little more comfortable is to realize that once the third finger is down, the index finger can come down on both the E and A strings even though the E string is the only one being actually sounding. Anything happening behind the D is not heard. This applies to a lot of chord shapes and makes it a little because the elbow doesn’t have to rotate as much to clear an adjacent string cleanly. It can be a little strange to feel two strings under you finger and only play one but it happens a lot to me, I have wide fingers. Still it’s a good thing to be aware of. Sometimes it’s efficient to note two strings simultaneously in preparation. It’s a crunchy chord but it’s everywhere.

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Originally posted by farmerjones

Indeed that's a fiddly trick/tool/hack you'll need more than once.
D and F# are 2/3rds of a D chord. I consider it the I (one) in many D tunes.

You'll be doing it without thought soon enough.

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It came to my mind that I will need more of these kind of tools in order to improve and to be able to speed up and sound more authentic! I always kind of avoid what is a struggle as first, but this specific trick has my full attention and concentration now :-) Thanks for the encouragement.

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Originally posted by Peghead

I can’t tell if you’re already doing this but one thing that may help make it a little more comfortable is to realize that once the third finger is down, the index finger can come down on both the E and A strings even though the E string is the only one being actually sounding. Anything happening behind the D is not heard. This applies to a lot of chord shapes and makes it a little because the elbow doesn’t have to rotate as much to clear an adjacent string cleanly. It can be a little strange to feel two strings under you finger and only play one but it happens a lot to me, I have wide fingers. Still it’s a good thing to be aware of. Sometimes it’s efficient to note two strings simultaneously in preparation. It’s a crunchy chord but it’s everywhere.

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I will keep this in mind, but for the moment I am already happy if I don't get confused with index on one string.

 I feel practising this chord has some effect on my joints, and at this age I am still being a bit hyperflexible so I just hope this won't lead to 'sudden' injuries.

Yeah that sounds cool. I think it might be a good idea to get used to both hammering on and also with sliding into a hammer on with the index on the E string. Then, separately if you're not used to it...get used to finding that double stop/chord...the E and A strings together...then slowly get to where you are comfortable with the double stop and can separate the fingers enough to be able to hammer on or slide or both with that index finger. It is a very cool sound and I know you will figure it out and be able to employ it for cool sounds not only in Sally Ann but wherever you feel like throwing that sorta thing in. I'd go slow and easy. I sound like I'm trying to be the "expert," which I definitely am NOT...but I have spent some time working on this sort of thing...at the present I'm so rusty I can't stand my own playing anymore...lol...but there was a time when I was sorta getting at stuff like that and I hope to get back to it and get it usable for me again. Anyway, the way you play now, Anja...I'm feeling pretty sure you will get this down and have another cool old time tool in your bag of old time fiddling resources. Hang on, keep workin' at it...and I hope to hear you do it before long!

Oh I forgot to add...it's also very cool, once you get comfortable with sliding that index finger up into the chord, to then learn to slide it back out of the chord.

Anja, first of all - Do you want to learn this tune, or are you just trying to learn the doublestop? More aout the tune later, but I don't think I could ever learn it from that murky video. As far as the doublestop, I've just reread what others have said, and I agree you should ignore the little nuances he suggests and learn the basic doublestop first.
This is one of the easiest and most useful doublestops on the fiddle, IMHO. Its the root on the bottom, with the major third above - 1 and 3, or Do- Mi. It is also one of the sweetest and, I would say, most definitive, since the root establishes the key and scale, and the third indicates the major key.
Once you get comfortable with it, you can move down one string, with the same fingering, for G, and down to the fourth and third strings is C. If you slide up a whole tone, it will be E, A and low D. If you slide down a whole tone you don't need to finger the higher string - it can be open, and you can use your 2nd finger on the lower string, for a C doublestop - C below and E above. Moving down a string is F, and the lowest pair is Bb.
Once you can play the doublestop in tune you can try sliding up to it with both fingers (a good way to start "potatoes" for a D tune), hammering on the F# on the top string, or just sliding into that note while keeping your third finger stationary (this can be a little harder). Its also a good basis for playing D-E-F# phrases, up or down.
As far as learning "Sally Ann," I'd suggest looking on YouTube for videos of Tommy Jarrell playing it - there are several. Pick one you like, and with slowing it down see if you can figure out what he was doing.
Good Luck.

BTW - About 20 years ago I saw a friend using this fingering on my mandolin, and asked him to show it to me. He said "You'll get a lot of use out of this" and I'll say the same to you.

Yep I agree to first practice simply doing the doublestop...
1st finger down on E
3rd finger down on D
Needs a "clean" touch so both strings ring clean... If not, check arch of your fingers...

Once that is going OK, try starting your E finger (1) down a bit low and sliding up to pitch (F#).

And once that sounds OK, then try bowing it in the famous shuffle rhythm*. This will enable the practice of getting the slide in time with the bow change.

That doublestop technique sounds great, a classic OT sound! I can see why you want to learn it! :-)

* I think that rhythm actually has its own name...is it the "taters"? I dunno! 

PS - Here's another video of Mark Cambell explaining the use of a similar technique in a different tune: youtu.be/rvCo9PaHF5Q?feature=shared

@Doug and NCnotes: Thanks for the help!
At first I wanted the tune , but then I spotted the chord and I have been focusing on the chord since then ... so I left the rest of the video for what it is. For now I would be more than happy to be able to play the chord like it should be played!
I see two possible options to improve my current sound:
1) If I only put my ring finger on the A while index finger is on E, it most often feels like I am losing hold of my fiddle and the noise that comes with it is terrible. But when I place my middle finger next to my ring finger on the A string, it seems to help.
2) When I hold my fiddle a bit more like it is recommended in classical style for practicing vibrato (I mean that you cannot touch the top of the fiddle with the rest of your fingers like one would do when not playing vibrato , so only the tip of the fingers on the strings - leaving space between hand and neck)  it seems to help a little also.
Aside from these two remarks:
I ordered some dark rosin. It arrived today and I must say it suddenly doesn't seem impossible anymore to practise this chord, the new rosin sure helps, but still find it hard! I am happy with the dark rosin though, let's hope I won't drop this one this one because I always drop rosin -  it falls on the floor in pieces , I help myself with the leftovers and soon after it's like the rosin completely dried out and cannot be applied anymore like when it was still fresh. 

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Originally posted by DougD

PS - Here's another video of Mark Cambell explaining the use of a similar technique in a different tune: youtu.be/rvCo9PaHF5Q?feature=shared

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Wow, this is such a cool video!! 

More than cool!!! He also tunes down half a step G#C#G#D#, like I prefer, best alternative to ADAE for my own fiddle!

@quincy, that double stop, F# on E string, open A string, used most often on D maj chords of the song, can be moved up 2 notes, G# on E string, B on the A string, which can be played against an E guitar chord, and so forth. OF course moving those double stops over 1 string will give you double stops on the corresponding guitar chords of G and A. And move them another string over, you get another set of double stops against chords C and D. Dont know if this helps, or you have this down pat already. I know for me, self taught fiddler from the 70's, it took me years before I figured this out! Not the brightest crayon in the box!

In a 1-3-5 major triad, essentially what you're playing is the 5th and 3rd and leaving off the 1 (the root chord), and that My Dear, is the extent of my music theory. 

  Hammer-ons, slides up and down to, etc, to either of those 2 notes can produce a lot of different effects commonly used in all sorts of music.

wrench13, thanks for your answer, I will step by step try to find out what exactly is written in your post and the post of Doug also hehe. Written it sounds rather complicated ;-) But the video Doug posted cleared out a couple of things here, things I wasn't even looking for at the moment. Have it on slow speed now!