iOS, Safari and some Android environments will not properly prompt you for a password if this video is password protected. But, if you click the 'Download Video' link, it will then prompt you for a password. You can then save this password into your browser/keychain if you wish, and in future visits to this (or other videos on this site) it should work. Also, directly downloading and opening the downloaded video file should work in all cases.
If you are having problems with the 'download file' link right-click on the link and choose 'Save As..' or 'Save Link As..' (depending on your browser).