you can download it to a directory of your choice
however if you want the app to work after App Inventor targets API 30 in late 2021, then you should download the file to the App Specific Directory
see also
in the videoplayer component just set the Source accordingly, see also Media
Source
Sets the “path” to the video. Usually, this will be the name of the video file, which should be added in the Designer.
Taifun
Trying to push the limits! Snippets, Tutorials and Extensions from Pura Vida Apps by 
Taifun.