where are my lectures???

I am able to download and watch my instructor's lectures onto my PC but when I try to download them onto my phone (iphone 4) they disappear. I can literally watch the file load and then vanish- not in the itunes U app, not in regular itunes, not in the podcast app- completely gone. Where did it go and how can I listen to the lectures on my phone? FYI I have never used itunes U before and just downloaded the app.

thanks!