It is not possible to download content directly from Instagram.
However, there are 2 methods I use.
Take a screenshot and crop it (if it is a photo)
There are many apps on the app store that allow you to copy the link of the post, and the app will download the video to your camera roll. Another option is Instagram ++ - this allows you a ton of new features that the regular Instagram has not released yet - downloading videos, new setups, information about posts, etc