Indeed, some websites do not support direct file download and provide each video as a multitude of small fragments. For such websites we "glue" those fragments together using a special algorithm while you are watching that video. So, to download a video you need to:
1) Press Start.
2) Press Play in video player.
3) Wait for the video to end and press Stop.
4) Wait for the video to be glued into a single piece you can download it to your computer.