Thanks for trying the Hortonworks Sandbox.
You have bumped into a know issue. The workaround for which is to ssh into the sandbox and copy the videos to your desktop. You will also need to install putty or Cygwin to do this ssh’ing if neither of these are already installed. Any way, once you have the ability to ssh from your windows machine, log into the sandbox by opening an ssh session using the credentials username=root password= hadoop. The videos are located in /home/sandbox/sandbox-tutorials/local. If you need more help doing this don’t hesitate to ask.