Problem saving movies/music in window media player

[Guest Sammy D]

Hi, I've just bought my first new smartphone - Orange SPV C500. It's great but I can't save movies that I download. I can play movies in local content but the second I move away from there they disapear. I've followed instructions to save while playing but this does not work. The "add to favorites" button is there but not active. Anyone any ideas?