They send an email and towards the bottom of the email it will give you some info for you to download your video. It gives you a download password and then a link to go and type in your password then wala, you got your download.
Or, after you're done with the checkout you get a link to go to the download page. They're mostly .mov files in a .zip file, but the Outjogged Herman Shift is a .m4v for some reason. Maybe it's more compressed. But they all play in quicktime.
Because some people just want to learn certain effects or moves, and they can do that in the 1on1 section. It's also much more profitable for them to do it this way.