The videos (if you mean the card animations) cannot be opened with anything other than the iStripper player.
Each clip is encoded to the user to which it belongs.
This is also why sharing the files (other than the *.demo files) is impossible. You cannot play another person's files; that person cannot play yours.
If you mean the bonus videos, then yes.
Simply download the video and save it with a name in the location of your choice.
(remember to choose the resolution, which is accessable as a gear icon only when playing the video in the app, or on the web)