Hi Vanessa.
It sounds like your browser is ignoring the “download directive” from the web server. All modern browsers (as far as I know) honor the download directive by default, though those browser settings can be disabled or overridden by some extensions.
Which browser are you using?
If you happen to have another browser on your computer (either Chrome or Firefox), can you try downloading your video from another browser?
If that doesn’t work, let me know which browser you’re using and your Windows version and I’ll find a solution.
Joe