If you're having trouble with a large video download, check your Energy Saving option in the System Preferences. If the hard drive is set to sleep after 15 minutes, your download will probably fail. Change this to 'never,' at least until you get your video downloaded.
Video files are large, and the wifi to your iPad will take a lot longer than downloads via cable.
Most people use streaming for video on iPad, then download the file to a computer or the cloud later.