Purchased items - icloud downloads to hard drive

I have a new MacBook Air and have just purchased my first movie since having this Mac. The purchase has gone to icloud only it seems and I can't find how to download it to my itunes library on my hard drive. Have tried "check for available downloads" in the store menu but this just keeps listing the film over and over again in the purchased playlist and they are all 'greyed' out. I can play the movie on my Mac and on my apple TV via icloud but would rather have it on my hard drive. Can anyone tell me what I'm doing wrong or how I need to set this up so that all purchases go to my itunes library on my hard drive?