Hah, i had the same problem as you. Are you using firefox with adblock? Go to a thrasher video page, where the play button is. When youre on that page, click adblock and then click 'disable on thrashermagazine.com' after restarting firefox you should be good to go. If you're using a different browser, see if you can disable adblocking on thrashermagazine.com somehow on it.
In regards to downloading thrasher videos: you actually can't, they use
this stupid player which actually streams the videos from multiple addresses at once, and then the player puts it back together. If you wait until they post it on their youtube channel, you can use keepvid or something similiar to get them that way.
They used to put a "Download MP4" link on their site with EVERY video up until about a year ago....... really sucks.