johnny, there are several programs that can download files to your computer, some are free and some are commercial.
the program you need will also depend on what kind of file it is.. flash (sfv) , realmedia (rm), windows media (asf,wmv), or from youtube, etc.
so your first step is to identify the file type. then you can look for a program that can download such files. if you post the file type someone may be able to point you to a program.
like most areas, there are usually some good freeware alternatives, so dont just jump and buy something on a whim. but if you are going to do a lot of downloading then you might consider buying the program that works the best for you.