I can't remember if Video Download installed by default. If you don't see it listed, use the "Module Downloads" module to install (Watch Videos Offline).
You can also look under Settings > Modules to see which modules are installed and active.
Thanks for your quick response.
I just tried it and there is no default download module. It says "(iphone)" when you read about this module, but if it works on your iPad it should work on mine. I'll give it another go.