Text Box: Windows XP and 8 users: - when pressing the Play Video button Windows XP will ask you to Open or save if you save you can download the video and open and play when you wish, if you open the video will open when downloaded to memory.  
Windows 7 users: - When pressing the Play Video button the videos play via live streaming and there is no need to download, if you wish to save the video just go to File and save as in your Media Player, you can do this even while watching but may cause jittery video if you do both together, pausing the video may be better if you are saving a copy.
With a good internet connection the smaller videos will fully download in an average 2-3 Minutes, the largest 15-20 Minutes approximately, with live streaming it is almost straight away.