My Problems - need to run a windows app on my Mac or find a Video Grabber for the mac

Hi Everyone :)). I got problems on using Mac because im a First Timer on it :).

Well, My Mac is MacBook Pro 13 - inch, got on OS X 10.8.3 Mountain Lion.
Are you all familiar on IDM (Internet Download Manager) its an App on Windows. I use that app as a Video Grabber, so when i play a video i can download it. Maybe Guys you can give me a Progam that i can use On Mac, that i can use as an IDM?

I want that application to have on my Mac, but i cant, because its a Windows app and i got Mac, So i search a lot of programs on how can i work .exe files on my Mac so i find Guest Pc and etc. etc. But they dont work on me. I hope all of you can help me how to install a virtual pc on my Mac properly becasue i really want that program that bad :(((. Hope you can give me some tutorials. ThankYou Hope all of you can help me. Godbless :)

Sorry for my English :(. Hope you understand :(