If possible, I highly recommend downloading from your laptop and then uploading the video to your phone through whatever software you have on your laptop for configuring your phone.
To acces the content that you have purchased:
2) go to the top of the page
3) click "MyStuff"
4) Click "DM Threads- I purchased/rented"
5) Go to the Tiny dvd Download
6) Download it
And to add it to your phone:
1) Upload it to your phone's video/music library
2) sync your phone