This article explains how to download Mormon Messages videos so you can use them in situations where you don’t have Internet access.
You can download Mormon Messages videos from the Church’s Media Library or iTunes. Here are the instructions for each:
LDS Media Library: Click the icon and word “Download” located directly below the video. You can then choose the resolution quality and size of file you want to download. 
iTunes: Just type iTunes.lds.org in your browser to launch the iTunes application and go directly to the Mormon Channel. Then follow the normal procedure within the iTunes application.