I think that you need to right-click (or control-click) on the download link and choose "Save as…". This way, the preview file will be downloaded on your computer.
Sorry not to answer sooner but I have been offline for a few days.
I did what you said and got the download. It told me to also download a VLC (?) viewer which I did and installed it.. When I try to open the video all I get is the frequently asked question list again. Maybe they are overloaded. I'll wait a day or two and try again.