What is it you want to do? Watch it on computer or burn it? It's best to check it plays ok before you burn it. Tips about downlding videos: Movie download issues
BTW we don't want to know specific titles if they are copyright. Just say it's a video file.

For watching on the computer we generally recommend VLC player as it's generally very reliable & has in-built codecs. CODECs list and alternate players for Movies

To access your downlded files, for fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.