There’s no way to do what you’re asking in a Music library. There’s an old feature request for it.
About the only thing you can do is create a new library (`Other Videos’ type), name it 'Music Videos (or whatever you like), and point it to the same folder your Music library is pointed to. This will gather all the videos from all your albums into a library of just videos. You still can’t mix videos with audio tracks, but you will be able to play your music videos like a playlist.
I don’t use Download much, but I believe the above will let you download the videos.
