Every video that has been downloaded says: "sent to iTunes". I have never found one video in iTunes. What am I doing wrong?
There are two main possibilities: either the video has not downloaded properly, or it's just in a format iTunes doesn't like.
Are you able to play these videos from Jaksta?
If you right click (or Control click) one of the videos in Jaksta and choose "Show In Finder" from the popup menu, it should show you the file in Finder. Does it play here? What about if you drag and drop it into iTunes. Does iTunes accept it?