Check the end of the video file name, It should say .mp4
If it says.mp4.part it means that the file has only partially downloaded, usually due to a break in internet connection.
I’ve found the Safari web browser continues downloads even if they are interrupted, which can be handy if your connection is a little temperamental for the longer videos.
You can check your broadband speed here: www.speedtest.net (to give you an idea my download speed is around 30Mbps)
Go back to the Order Receipt email you received with the links and click that video to start a fresh download.