This is the tricky part. There may be a big icon labeled "Download" right below the URL text box. If this icon shows up, do not click it -- This is part of an advertisement sometimes shown on the site.
To download the video, you need to locate the download links in the green section of the website. There may be two download links: one for low res videos and one for high res videos. You should choose the high res video which should be listed last. It will have much better quality.
To start the download, right-click the appropriate link labeled "Download" and choose "Save link as..." from the pop up menu.
You will be prompted to choose a directory on your computer to store the file. Feel free to save it anywhere you prefer. If you do not have a directory for videos, it is okay to save the file in the Documents folder.
The file will have a generic name like "movie.mp4". Since you may be downloading multiple videos, it is a good idea to rename this to something unique. Anything will do -- you can type in the title of the video if you want.
Once you click okay, your download will begin. All you will need to do in the future to watch the video is double-click on it from the directory you saved it.