Instead of Downloading, it Plays the Video

I'm hoping someone can help me! I download LDS.org videos to a flash drive so I can play the videos for my Youth Sunday School class. Many of the videos have a "download" button, but when I click it, the video starts playing instead of downloading. Is there any way to get around this glitch I've tried Youtube but can't figure out how to download from there.
Thanks!

If you right-click on the download button, there might be an option to download the video instead of opening it directly, depending on your browser.