You can download it directly from the video website you are watching. Isn't there a download button under the play box? Click in and you can download it. If not, no download is provided, and you can download it with the video downloader.

The video downloader can download videos from most video websites on the Internet, copy the playing address of the videos into the newly-built downloads, analyze them, select MP4 format resources, and set the file storage directory as the folder of your U disk.