There's a download button on the Instructional Videos in the bottom-right hand corner that looks like a downward-pointing arrow. It's just to the left of the volume control and it looks sort of like this [↓].
Your computer should let you know how to proceed saving it to disk, after which you can drag-and-drop the .flv file into the Full Control Video player.
Hope this helps :D
GT Admin
P.S. In case you're interested, we have a video user manual that goes over some of the features of the Full Control Video Player in our Video User Manual:
http://www.guitartricks.com/help/usermanual.php
If you have any questions, comments, or concerns, please contact us.