This is if you are on your computer, not sure about from a phone.
Once you purchase it, you click on "Account" in the upper right (It's in between "Cart" and "Help".)
There will be an option titled, "My Downloads". Click that.
You will then see anything you have purchased which can be downloaded or streamed.
There are "Watch", "Learn", and "Discuss" options.
Click "Learn"
This will open a window and at the bottom of the window is an option to download the video.