Apple have only recently allowed video downloads from the internet to their devices. You'll need to be running the Operating System (OS) of iOS13 or later in order to achieve this.
Rather than us writing an article that may become outdated we would direct you to follow guidance directly from Apple here are the links that are correct at time of writing.
https://support.apple.com/en-gb/ios/update - General Guidance
https://support.apple.com/en-gb/HT204204 - Detailed Guide
Once you have upgraded to the latest OS please follow the following article to proceed with the download.
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