Let's call $f: = x^4-2x^2-2$. You could use the fundamental theorem of Galois theory. A field extension $\mathbf{F}_5 \subset L$ of finite fields of degree $n$ will be cyclic of order $n$. Therefore, you should determine the degree of this extension.
Actually, you know that $f$ is irreducible over $\mathbf{F}_5$ (you already know that it doesn't have a linear factor), because a product of two quadratic factors let's say $f = (x^2+ax+b)(x^2+cd+d)$ where $a,b,c,d \in \mathbf{F}_5$ gives that $b = d$ (use that $\mathbf{F}_5$ is a field therefore a domain). Now, the last term $b^2 = d^2$ should be equal to $-2$, but $-2$ is not a square in $\mathbf{F}_5$. Therefore, $f$ is irreducible over $\mathbf{F}_5$.
Use the abc-formula which still holds in characteristic $5$ to show that $x^4-2x^2-2 = (x^2 -1 -2\sqrt{2})(x^2-1+2\sqrt{2})$. Notice that $\mathbf{F}_5$ doesn't contain a square root of $2$. Then you can see that $L = \mathbf{F}_5\left(\sqrt{1+2\sqrt{2}}, \sqrt{1 - 2\sqrt{2}}\right)$. Because $f \in \mathbf{F}_5[x]$ is separable (look at the roots), you can see that the Galois group $G:= \text{Gal}(L/\mathbf{F}_5)$ can be imbedded into $S_4$. Note that $f \in \mathbf{F}_5[x]$ is irreducible, therefore the order of $G$ is divisible by $4$ (and $G$ is a transitive subgroup of $S_4$). You can conclude that $G$ is a cyclic group of order $4$.
Let's call $\alpha := \sqrt{1+2\sqrt{2}}$ and $\beta := \sqrt{1-2\sqrt{2}}$, then because of the irreducibility of $f$ over $\mathbf{F}_5$ you know that $[\mathbf{F}_5(\alpha) : \mathbf{F}_5] = 4$. We know (because of Galois theory) that $ \# G = [\mathbf{F}_5(\alpha,\beta) : \mathbf{F}_5] = 4$, so you conclude that $\mathbf{F}_5(\alpha) = \mathbf{F}_5(\alpha,\beta)$. Using this you can explicitly determine the Galois group. You should find an expression of $\beta$ in terms of $\alpha$ which can be `legally' obtained ( I disagree with Aphelli's comment).