How are you trying to access the downloads?
If you go up on the menu bar and click My Account then click Course Listing next to Enrolled Courses it should take you to the proper page to be able to download the course.
You might need to scroll down to the Resources section for the video download.

Not all of the earlier videos have a zipped file containing all of the videos.  In that case choose the video in the list.  Let it start playing and pause it.  Then RIGHT click on the video and choose Save Video As...
That will bring up a dialog box to where you want to save the video.