The ability to download Panopto content is turned off by default. This setting can be enabled on a per-course (or folder) basis, but that decision would need to be made by the faculty member who owns the content. It is either enabled for all the students in a class or none of them. It can't be done on a per-user basis.

If you feel you need to download content for your course instead of watching it online, please check with the faculty member teaching the course. If they are willing to allow downloads, they can either follow the instructions here: How to Enable Podcast Downloads, or they can contact the OIT helpdesk for assistance.