You can download all sheet music and play-along mp3 tracks, but not video lessons.

To download an mp3, just hover the cursor over the red circle to the right of the player. It will turn green; then right-click (ctrl-click on mac) and the file will download.

Watch a screencast on this here.

The same goes for PDF files. Just right-click the PDF link at the bottom of the page (below the sheet music.) You can also click the link which will open the pdf. Then to download the PDF, click the icon of the arrow pointing at the computer: