I have just (within the last couple of hours) paid for the course and agree that you cant ordinarily download the files. However if you install the free version of realplayer you can then right click on the video and download it (there are other video downloaders out there).
Thanks, johnpicton for the Real Player suggestion! I bought the Happy Harpin' series and I was actually surprised that they did play on my iPad, but I also wanted to have them available for offline since my connection can be flaky sometimes. I found a free iPad app called Roadtrip that lets you save videos for offline (but not YouTube). Some of you might find that useful if you just want to get the videos on your iPad. The free version lets you store 15 videos at a time, or you can pay for unlimited.
But what I ended up doing is using RealPlayer to download the videos to my desktop, then I used another free app called AcePlayer on my iPad which allows me to browse them on my desktop and either stream them locally or save them to my iPad. Works really well.