Sometimes you need to download all the files for a video to work. You need to do that when the files end in a three-digit number.
Like this, for example:
video-03.zip.001
video-03.zip.002
video-03.zip.003
It's really just one video file, but it's split into several files before being uploaded, so they can meet the requirements of the host.
After you have downloaded them all, you need to open them in a file extractor. I prefer the free program 7-Zip myself.
What you do is keep all the downloaded files in the same folder, then open the first one (.001) with the file extractor. Then just drag-and-drop the video file from the extractor and onto your desktop or wherever you want it.
If a file don't work after you've downloaded it, then I suggest you try to re-download before complaining.