Download via Console
Log in to your Account Console and press the thumbnail or Edit icon of the media you wish to download, then on the Information tab under Formats you find the Download section, if you have storage of source files enabled for your account you will be able to download the original file as well as the converted web video. Store originals is a highly recommended feature for multiple reasons, talk to your sales rep or send an email to firstname.lastname@example.org for more information.
Download via API
If you want to download more than just a few videos it can be tedious to go through all of them and get the download link from Console. You can use the getMediaDownloadURL function in the XML-RPC API to automate this process, alternatively use the REST API. For more information on how to use the API check out this introduction to the Screen9 XML-RPC API and the API section of Screen9 Help Center.
Download via Videosite
If you have a Videosite connected to your Screen9 account you can allow users to download videos directly with the press of a button, how to enable this feature is explained in the article Making videos available for download.