You have three basic choices...

1. Get a faster connection!
2. Start the video, then pause it - usually when you do this it continues to download it. Then you can watch it once completed. (the solid red progress bar will stop, but you should see a more transparent one in the background continue to move.
3. Get a program like IDM (Internet Download Manager) - with that installed it will give you the option whether you want to download it in advance. It will save it as an flv file.