Why does this video keep saying ERR UNKNOWN URL SCHEME?

[AC Question]

I have a galaxy s6 and this video will play when I type in the address on a web search engine but when I try to just download it to save into my device library it says "webpage not found," "ERR UNKNOWN URL SCHEME," or that it can't save non http files? I even tried using a video downloader app but it says the same error?

 

[B. Diddy]

Welcome to Android Central! Is this a streaming Flash or HTML5 video, or an mp3 file saved to that site?