Summarize:

In order to convert the file, the site you're using may need to run a Java applet on your computer. This is a web based program, and you will need to confirm before it can continue. Confirm only if you are sure you trust the website. Do research on user reviews before allowing any programs to run on your computer. You will presented with a list of video files to download. The high definition files are at the bottom of the list, and will be the largest size. They come in MP4 format, and will need special software to view in Windows. Mac OS X comes with native MP4 support.
Run the Java applet if asked. Download the file.