Outside of using Bitzi, file size can be a telling factor. Generally movies are above 400 MB in size. You might also consider looking at the newer MP4 video format. These files may be slightly smaller due to their abilities. Movie download issues (click on blue link) (2nd last post has information on best video formats.)

Preview parts of the file as you are downloading them. Personally I go directly to the incomplete downloads folder & arrange by date modified, then open the video from top of list. This way it does not create a Preview file which will occur is you preview via LW.