The main difference between the usual mode and the InPrivate Browsing mode is that each video is downloaded in the user defined location.
In the usual mode all videos are downloaded by default into subfolder AppData\LocalLow\ant.com (Windows Vista or Seven) or Application data\ant.com (Windows XP) within user's home directory (which is typically C:\Users\<Username> for Windows Vista or Seven, and C:\Documents and Settings\<Username> for Windows XP).
In the InPrivate Browsing mode each time when user clicks on Download button a pop-up window Save as is displayed. The default location for Save as window is user's desktop.
When videos are downloaded in the InPrivate Browsing mode, they are marked with a small InPrivate label:
The videos that are downloading in both usual and InPrivate Browsing modes are displayed in the same window of Download Manager. You can remove videos that completed downloading by clicking the Clean up button. The list of download videos is not kept for both modes. Also, take into account that closing Download Manager window actually doesn't close Download Manager itself — it is unloaded automatically when all instances of Internet Explorer are closed.
Videos downloaded in the InPrivate Browsing mode cannot be opened by the video player
In order to watch downloaded videos that were downloaded in the InPrivate Browsing mode you can manually copy or move them into the default download folder (you can click Browsebutton on the Ant.com Video Downloader toolbar to quickly access it), and then close and reopen the embedded video player — it will rescan the default download location and show new files.