Unlike cellphones and PDAs, portable media players usually only have a single means of transferring videos, via USB cable.

If you are using a device that has a supporting Mac application, then this will be the easiest way of transferring videos into your device.

For example, if you use an iPod Video, download the .MP4 videos from this site and drag them into iTunes. It will the manage the transfer to your iPod.

If your device does not have supporting Mac software you can always check to see whether it mounts on the desktop as a storage drive. If this is the case then you can simply drag and drop the video files that you've downloaded.