how do i download divx movies?

how do i download movies when it says to download from other websites and it shows you something like this
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internet explorer.

Not getting what this site is telling you!!!!
But the best way to download any and any type of video ,Use the real player 11 beta(which is freeware).
Just watch that clip or movie online and during that right click on that .choose option-download with real player.

limewire or frostwire is where I get my movies. You just have to make sure you install all the codecs for the movie type. I run linux, so I don't know how to install codecs on windows, but maybe this will help.