We have insufficient information to help you here. If you are downloading a file from a site then it is up to the site to decide what file(s) to send you. This has nothing to do with the browser. If you select a link and they return multiple files then that is on them. However without an example it is hard to know exactly what they are doing.
It is possible you're getting a zip file and inside there is the video + metadata file (xml). That is the format the site decided to use. Unless the site provides you a separate endpoint to download just the file then you'll have to pick it out yourself.