While I haven't tried downloading a video directly from my PS3, I do have the download for "Dangerous" stored on my PS3 hard-drive - so I can watch it on my TV.
The process is pretty simple - but a bit time consuming. Once you have the video file on your computer, transfer it to a USB flash drive - which, in turn, is inserted into the PS3 - and simply then copy the file over to the PS3's internal hard-drive.
However, since PS3's cannot read .mov files - which most of the downloads, such as Dangerous, are in - one has to convert them to .mpg or .mp4 format, prior to transferring them - via a program or site, such as
www.zamzar.net.
In short, I'm not really sure if you can download videos directly to a PS3 - though it would make for a nice experiment one day. However, if you'd like, you can you can still transfer the video to a PS3 later on - which allows one to watch 1-on-1's and, in my case, Dangerous on a crystal clear, pristine, high definition TV.
Cheers,
JTM