Hello CraigES,
Thanks for using Apple Support Communities.
For more information on this, take a look at:
About iTunes LP and iTunes Extras
http://support.apple.com/kb/HT3823
When you purchase a movie with iTunes Extras, the primary movie along with the iTunes Extras will download to your iTunes Movie folder. Mouseover the cover art and click the icon on the album to open the main menu to play the movie or view other features.
iTunes LP or iTunes Extras will download to iTunes on your computer when you choose Store > Check for Available Downloads.
Best of luck,
Mario