I don't think you can download classes as a whole.
You can download the reference material and/or exercises. It's a bit below the video-frame in any lesson where it says 'Downloads'.
All the classes are live events which we archive after they've been recorded. They're not made available for download. Maybe in the future we'll have a dedicate class system on the site that may include downloads for prior classes, but for now you'll only be able to watch them on the site.