If you have a problem playing the videos (as I have since a recent Microsoft Update, grrr), then right click on the link and select "Save Target As".
Chose a destination (a folder to save it in) and continue with the download.
Once the download is complete you can either click "Open" which will start your default video player (eg Windows Media Player) or "Open Folder" and then click on the saved video file to start your default player..
Saving the file has the benefit of making it available for later viewing without using the internet and, if you want to, you can scan the download with an anti-virus program before playing it.