You can download all the MIX11 Videos in Single click from here. This has got nice Silverlight interface to select your desired files and click on Download. Since Silverlight has some security restriction, so this download button will just create a batch file in you system. To run this batch file you have to download a program called wget.
If you still have some issues with download you can refer this link.
Alternately you can also download the Videos from the Official Website too.