Assuming you are using the default browser (Firefox). If the videos open in full screen within the browser, you may just need to hit Ctrl+S to save them. Alternatively, right click the link that opens the videos and hit "Save Link As..."
Does that work?
I just realized you may be saying this is not the case. If the videos are shown within some kind of a player on the page, then you may not be able to download them. Does the service from which you bought these videos allow you to download them at all?