You have linked your ShortPoint element to a video and selected Lightbox as a linking option. You expected that after the user clicks an element, the lightbox opens and the video starts playing. Instead, the video is downloaded after clicking. Here is how the problem looks like:
The video format is not supported by SharePoint player. Therefore the file downloads to your computer so that you can view it with one of your installed apps.
SharePoint supports the following formats of videos: WMV and MP4. These file formats will play the video inside a Lightbox.
If your videos have a different format, we suggest using a video format converter - one of your choice, available online.
Here is the result you will have after applying this solution: