That's not IDM's fault. The servers you are trying to download videos are protected and sometimes IDM can't get the correct links. This is the case that's happens to YouTube videos as well. The videos are split and they're attributed security information. When the server identifies that a download manager has made connection to videos, it automatically supplies security info in those videos and that's why they close immediately. The best way is to get an answer from the website's owner, but I double he'll change settings so you can download videos that are probably copyrighted.
Try using Free Download Manager as an alternative and see how it goes.