They seem to use MPEG-DASH, which shows as a series of MP4 files each returning 206 Partial Content. I tried https://github.com/emarsden/dash-mpd-cli to download it using the MPD XML file, which you can find by filtering for “master” in your browsers network log. But that didn’t work. Still, you might want to spend more time on it than I have at the moment.

Can you give us the URL?

If the page uses the built-in player, right click and save as should work. If right click is disabled, get an extension to force enable it.