You can't 'download them'. The only information a halo video saves is the metrics and timings for the game, not any of the assets like colours, or models. Thats why each 10 minute game is only a few megs. for a PC to run a 3d game of halo, it would need to be massive.
What you can do is use a video capture card on your PC. (google them) they cost quite a bit though.
Alternatively, if you have a dvd recorder you could record the game onto a DVD (like your recording a tv show,) and then transfer/rip the CD onto your computer.