Downloaded Video file size

I’m new to Kodi and have searched the posts, but cannot find an answer.
I’m using Kodi 17.1 Krypton on a PC and have set up to download video to a USB hard drive.
When I download a video file (TV episode), it take about 3 seconds and saves an mp4 file on the drive of 4 Kbytes, and I know this is not big enough.
It plays OK as long as I’m connected to the internet, so I assume it is only a streaming link, can I download the complete episode ?