As you've found, if you make the video (or whatever else) available via a URL, it will be downloadable.
One alternative would be to create an ASP.NET page that checks that the user is correctly signed in and then redirects to the file - without revealing the URL. Other ways of supplying the video without a direct link would be by embedding it (or access to it) in something compiled like Java or Flash.
Whatever solution you might choose, not revealing the URL - or not making the video directly accessible on the Internet in the first place - is going to be the key. Once a URL is available, it is EASILY downloadable.
Just FYI, there are plenty of video capturers out there in the world. Even if you do hide the URL, they will be able to "download" it to some extent.