The video found on the website downloads itself into a temporary location on your computer before beginning to play.
If you are having trouble watching the video, try letting the whole video download first and then hit the "Play" button again. The gray bar below the video screen shows the load progress. The faster the bar moves, the faster the video is loading. Slow bar progress may mean a slow internet connection, which can occur for a number of reasons (time of day, network usage) and is usually temporary.