I purchased that last fall, and it is vey good.
I don't have the links handy, but I was able to save it. Maybe you are using firefox or a Mac? If Internet Explorer then you want to right click and save target, or if prompted to "open or save" choose save.
Okay I went and looked. The one I got was a .wmv file, so you probably just clicked on the link waited a long time and then Windows Media Player played it. Try right clicking the link and Save Target As.
