Select the one (or all of them) that you want and click the DOWNLOAD option next to the name.
The files should then start to download.
The files may be in FLV or MP4 format. Other formats also exist.
I'm not on the computer at the moment. but from memory, FLV files usually have a red icon next to the file name.
I would always opt for the highest quality MP4 file - usually the largest file size. When an MP4 is not available, I would then opt for the highest/largest FLV file.
The bit at the bottom of that screen about "convet to MP4" etc. is a link to the software companies websit to try and temp you to buy their converter software. There are plenty of free converters and even websites that will convert for free.
You will need a converter for FLV before you can burn it, unless your burning software has it built in!
I can't remember what I use off the top of my head, but a free converter is Handbrake - available for both mac and pc.
Hope this helps.