Open up the Panopto video you wish to download and then select from the top right toolbar the ‘Download’ icon.
If the button is not visible then either:
A) Your lecturer has not enabled video downloads. You can ask your lecturer to turn on downloads for their videos, it is down to their choice.
B) The course folder or session title is too long and is hiding the download button. To fix, maximise your window or zoom out (ctrl -) until you see it.