Easily Distracted Woman strikes again (I'm gonna make me an icon for that someday... if I don't get distracted):
right-click and 'save-as'
You can also just click, and (depending on your settings and such) it may work, but it may also take forever. ^^;
If you don't have the codec for the .avi, you can try this mp4:
bigger file, lower quality... go figure!