Well, looks like everyone's covered downloading, so if you're new to *watching* vids, I'd suggest you take a close look at the file types of the direct/indirect vids you *can* download. A quick runthrough should save you some trouble if you're new to amvs.
Avi - watch out for the xvid codec, a lot of avi files can be played in windows media player or winamp, if you haven't added any codecs to your computer I'd say look at the guides for the newest divx codec and do a google search for the xvid codecs - you can download them and watch the avi files on windows media player, other avi files can be played in the DivX Player (
www.doom9.org has this).
Mpg1 - easy format, playable in windows media player or Winamp3 (or earlier versions of winamp)
Mpg2 - troublesome codec, you can get the BSPlayer from doom9.org to play these, and some you'll need an early version of Winamp for (possibly Winamp 1.89 or Winamp 2)
Wmv - usually good in windows media player, but some can be seen in real media player (if you have that)
rm, ram - Real Media files usually play only in the realoneplayer (do a google search to get this), they're troublesome but there's supposed to be a codec pack you can get to play these on windows media player - just don't ask me if it works ^_^;;
mov - quicktime player only, another troublesome media player
Any other formats you find may not be worth the effort. Mostly I'd only get vids in avi, mpg or wmv. If you have rm player you can do the rm field, but it's usually not worth it (most rm files are small and fuzzy).
Yeah, just thought I'd cover the 'how to play vids' part of the question. ^_^;; And this should have gone in the 'Site Help' section. ^_~