First of all, if you are attempting any kind of scraping (yes this counts as scraping even though you are not necessarily parsing HTML), you have a certain amount of preliminary investigation to perform.
If you don't already have Firefox and Firebug, get them. Then if you don't already have Chrome, get it.
Start up Firefox/Firebug, and Chrome, clear out all of your cookies/etc. Then open up Firebug, and in Chrome open up View->Developer->Developer Tools.
Then load up the main page of the video you are trying to grab. Take notice of any cookies/headers/POST variables/query string variables that are being set when the page loads. You may want to save this info somewhere.
Then try to download the video, once again, take notice of any cookies/headers/post variables/query string variables that are being set when the video is loaded. It is very likely that there was a cookie or POST variable set when you initially loaded the page, that is required to actually pull the video file.
When you write your python, you are going to need to emulate this interaction as closely as possible. Use python-requests. This is probably the simplest URL library available, and unless you run into a wall somehow with it (something it can't do), I would never use anything else. The second I started using python-requests, all of my URL fetching code shrunk by a factor of 5x.
Now, things are probably not going to work the first time you try them. Soooo, you will need to load the main page using python. Print out all of your cookies/headers/POST variables/query string variables, and compare them to what Chrome/Firebug had. Then try loading your video, once again, compare all of these values (that means what YOU sent the server, and what the SERVER sent you back as well). You will need to figure out what is different between them (don't worry, we ALL learned this one in Kindergarten... "one of these things is not like the other") and dissect how that difference is breaking stuff.
If at the end of all of this, you still can't figure it out, then you probably need to look at the HTML for the page that contains the link to the movie. Look for any javascript in the page. Then use Firebug/Chrome Developer Tools to inspect the javascript and see if it is doing some kind of management of your user session. If it is somehow generating tokens (cookies or POST/GET variables) related to video access, you will need to emulate its tokenizing method in python.
Hopefully all of this helps, and doesn't look too scary. The key is you are going to need to be a scientist. Figure out what you know, what you don't, what you want, and start experimenting and recording your results. Eventually a pattern will emerge.