On your clip page. click on the blue download button "Click here to download your StageClip to your device".
A new window/tab should open with a video player, the address bar should end with some random number/letter string eg. "…/27404c29-3ef4-44c5-983c-441b515c2cc0--e8f6d.mp4".
Right click this video and select "Save video as..." :
You should then be able to choose the save destination and/or rename the file:
We recommend renaming the file, as it will be easier to search for in the future.
Also note that the default folder is the "downloads" folder, but you can choose the file destination as you wish (eg pictures, videos, USB drive etc.)