Go to a video site and download it. I'll use Tudou as an example to give you an illustration.
Download the Tudou client. Open the client and enter the name of the video you want to download in the input box.
A lot of videos pop up, you select a video and play it, click the download button at the bottom right.
The download task box pops up, click start download.
After the download is finished, go to its save path and open it. You can use the default save path or set your own.