Right click the link and select the option "Save Target As..." and then either add the files to your media aggregator (eg, iTunes) or transfer the files to your media player (eg, iPod).

Control + click the link and select the option "Download Linked File As..." and then either add the files to your media aggregator (eg, iTunes) or transfer the files to your media player (eg, iPod).  Video files downloaded to a Mac may have two extensions, .m4v.txt.  Remove the ".txt" extension from the filename before transferring your files.