Downloaded video file

Are you sure the video did download ?

You might be able to find it's name from the download site, and do a search on Mac

If you don't know the filename, or a video title to search for:

there are still ways you might want to try, for finding the video.:

search by date file was downloaded / date file created / recent files

Apple support's article: "Narrow your search results on Mac"

Says:

Search for a movie: (put this in the search field) kind:movie

(NB: Choose your MacOS version at the top of this article for more accurate results.)

https://support.apple.com/en-au/guide/mac-help/mh15155/mac

OR

In the Finder > open a new Finder window

In the search bar type

.mov

to see all video files with filenames ending with .mov (NB needs the . dot before the mov)

If you see the file's icon / or recognise it by name amongst all the files

you can open it,

and /or

click on it to highlight it, and see it's location appear in the status bar at the bottom of the window.

Else if you don't find it ... try again searching for .m4v

(mp4. .m4a .avi are also possibilities)

Hope there's something helpful here :-)