For this, 1st of all you have to check the preference for where downloaded videos are saved in your phone, it may be phone memory or memory card, whatever it is, you will find a folder named after the browser (if it is downloaded from outside) from which you have downloaded the videos, there you will find this folder of downloaded videos easily.
But if videos are downloaded from the phone's own browser then you will find the videos in a folder named 'Downloads'.
