It looks like server may redirect you to other location which your code doesn't handle. To get final location you can try method like (based on: http://www.mkyong.com/java/java-httpurlconnection-follow-redirect-example/):

public static String getFinalLocation(String address) throws IOException{
    URL url = new URL(address);
    HttpURLConnection conn = (HttpURLConnection)url.openConnection();
    int status = conn.getResponseCode();
    if (status != HttpURLConnection.HTTP_OK) 
    {
        if (status == HttpURLConnection.HTTP_MOVED_TEMP
            || status == HttpURLConnection.HTTP_MOVED_PERM
            || status == HttpURLConnection.HTTP_SEE_OTHER)
        {
            String newLocation = conn.getHeaderField("Location");
            return getFinalLocation(newLocation);
        }
    }
    return address;
}

Now you simply need to change

url = new URL(fAddress);

to

url = new URL(getFinalLocation(fAddress));

You will mostly have to consider the following cases:

Youtube

There are a few tools already available that are able to generate a link to the raw source file of a youtube video (which you can download, for example, as an h.264 coded .mp4 file) Try to find some of those, for example Userscripts, they will have plenty of source code that you can reuse to find out the URL. Here's an example. Maybe there are also some questions about this on Stackoverflow, I haven't looked. That's your job.

Flash Video

Websites that embed flash video use a flash player (duh) that is fed by some options, mostly it's hardcoded or JavaScript. This means that somewhere in the source code of the website, there is a link to a video file, probably an .mp4 or .flv file.

You will have to find that link (it could however be encrypted, URL-escaped, wrapped in JSON, whatever) and then download the raw file.

Example: This website feeds its flash player from a JSON string somewhere within the source code. I was able to decode it and generate a website that allows you to download the raw videos. In PHP, this worked like so.

Raw Files

Some URLs expose the file, like http://www.test.com/video.mp4. To save such a file from an URL, it comes down to just "downloading" it. There are plenty of tutorials, including this one.

Conclusion

It's not such an easy task to program a video downloading app that will work on all sites. Focus on "easy" ones such as Youtube and those websites where you can extract the file directly.

    //Check if External Storage permission js allowed
    if (!storageAllowed()) {
        // We don't have permission so prompt the user
        ActivityCompat.requestPermissions(getActivity(), Constant.PERMISSIONS_STORAGE, Constant.REQUEST_EXTERNAL_STORAGE);
        progressDialog.dismiss();
        showToast("Kindly grant the request and try again");
    }else {

        String mBaseFolderPath = android.os.Environment
                .getExternalStorageDirectory()
                + File.separator
                + "FolderName" + File.separator;
        if (!new File(mBaseFolderPath).exists()) {
            new File(mBaseFolderPath).mkdir();
        }

        if (downloadUrl == null || TextUtils.isEmpty(downloadUrl)) {
            showToast("Download url not found!");
            return;
        }

        Uri downloadUri = Uri.parse(url.trim());
        if (downloadUri == null) {
            showToast("Download url not found!");
            return;
        }

        String mFilePath = "file://" + mBaseFolderPath + "/" + fname ;
        DownloadManager.Request req = new DownloadManager.Request(downloadUri);
        req.setDestinationUri(Uri.parse(mFilePath));
        req.setNotificationVisibility(DownloadManager.Request.VISIBILITY_VISIBLE_NOTIFY_COMPLETED);
        DownloadManager dm = (DownloadManager) getActivity().getSystemService(getActivity().DOWNLOAD_SERVICE);
        dm.enqueue(req);
        progressDialog.dismiss();
        loadInterstitialAd();
    }
}

import java.io.BufferedReader;
import java.io.File;
import java.io.FileOutputStream;
import java.io.IOException;
import java.io.InputStream;
import java.io.InputStreamReader;
import java.io.Reader;
import java.io.StringWriter;
import java.io.UnsupportedEncodingException;
import java.io.Writer;
import java.net.URI;
import java.net.URISyntaxException;
import java.util.ArrayList;
import java.util.List;
import java.util.Scanner;
import java.util.logging.Formatter;
import java.util.logging.Handler;
import java.util.logging.Level;
import java.util.logging.LogRecord;
import java.util.logging.Logger;
import java.util.regex.Pattern;

import org.apache.http.HttpEntity;
import org.apache.http.HttpResponse;
import org.apache.http.NameValuePair;
import org.apache.http.client.CookieStore;
import org.apache.http.client.HttpClient;
import org.apache.http.client.methods.HttpGet;
import org.apache.http.client.protocol.ClientContext;
import org.apache.http.client.utils.URIUtils;
import org.apache.http.client.utils.URLEncodedUtils;
import org.apache.http.impl.client.BasicCookieStore;
import org.apache.http.impl.client.DefaultHttpClient;
import org.apache.http.message.BasicNameValuePair;
import org.apache.http.protocol.BasicHttpContext;
import org.apache.http.protocol.HttpContext;

public class JavaYoutubeDownloader {

 public static String newline = System.getProperty("line.separator");
 private static final Logger log = Logger.getLogger(JavaYoutubeDownloader.class.getCanonicalName());
 private static final Level defaultLogLevelSelf = Level.FINER;
 private static final Level defaultLogLevel = Level.WARNING;
 private static final Logger rootlog = Logger.getLogger("");
 private static final String scheme = "http";
 private static final String host = "www.youtube.com";
 private static final Pattern commaPattern = Pattern.compile(",");
 private static final Pattern pipePattern = Pattern.compile("\\|");
 private static final char[] ILLEGAL_FILENAME_CHARACTERS = { '/', '\n', '\r', '\t', '\0', '\f', '`', '?', '*', '\\', '<', '>', '|', '\"', ':' };

 private static void usage(String error) {
  if (error != null) {
   System.err.println("Error: " + error);
  }
  System.err.println("usage: JavaYoutubeDownload VIDEO_ID DESTINATION_DIRECTORY");
  System.exit(-1);
 }

 public static void main(String[] args) {
  if (args == null || args.length == 0) {
   usage("Missing video id. Extract from http://www.youtube.com/watch?v=VIDEO_ID");
  }
  try {
   setupLogging();

   log.fine("Starting");
   String videoId = null;
   String outdir = ".";
   // TODO Ghetto command line parsing
   if (args.length == 1) {
    videoId = args[0];
   } else if (args.length == 2) {
    videoId = args[0];
    outdir = args[1];
   }

   int format = 18; // http://en.wikipedia.org/wiki/YouTube#Quality_and_codecs
   String encoding = "UTF-8";
   String userAgent = "Mozilla/5.0 (Windows; U; Windows NT 6.1; en-US; rv:1.9.2.13) Gecko/20101203 Firefox/3.6.13";
   File outputDir = new File(outdir);
   String extension = getExtension(format);

   play(videoId, format, encoding, userAgent, outputDir, extension);

  } catch (Throwable t) {
   t.printStackTrace();
  }
  log.fine("Finished");
 }

 private static String getExtension(int format) {
  // TODO
  return "mp4";
 }

 private static void play(String videoId, int format, String encoding, String userAgent, File outputdir, String extension) throws Throwable {
  log.fine("Retrieving " + videoId);
  List<NameValuePair> qparams = new ArrayList<NameValuePair>();
  qparams.add(new BasicNameValuePair("video_id", videoId));
  qparams.add(new BasicNameValuePair("fmt", "" + format));
  URI uri = getUri("get_video_info", qparams);

  CookieStore cookieStore = new BasicCookieStore();
  HttpContext localContext = new BasicHttpContext();
  localContext.setAttribute(ClientContext.COOKIE_STORE, cookieStore);

  HttpClient httpclient = new DefaultHttpClient();
  HttpGet httpget = new HttpGet(uri);
  httpget.setHeader("User-Agent", userAgent);

  log.finer("Executing " + uri);
  HttpResponse response = httpclient.execute(httpget, localContext);
  HttpEntity entity = response.getEntity();
  if (entity != null && response.getStatusLine().getStatusCode() == 200) {
   InputStream instream = entity.getContent();
   String videoInfo = getStringFromInputStream(encoding, instream);
   if (videoInfo != null && videoInfo.length() > 0) {
    List<NameValuePair> infoMap = new ArrayList<NameValuePair>();
    URLEncodedUtils.parse(infoMap, new Scanner(videoInfo), encoding);
    String token = null;
    String downloadUrl = null;
    String filename = videoId;

    for (NameValuePair pair : infoMap) {
     String key = pair.getName();
     String val = pair.getValue();
     log.finest(key + "=" + val);
     if (key.equals("token")) {
      token = val;
     } else if (key.equals("title")) {
      filename = val;
     } else if (key.equals("fmt_url_map")) {
      String[] formats = commaPattern.split(val);
      for (String fmt : formats) {
       String[] fmtPieces = pipePattern.split(fmt);
       if (fmtPieces.length == 2) {
        // in the end, download somethin!
        downloadUrl = fmtPieces[1];
        int pieceFormat = Integer.parseInt(fmtPieces[0]);
        if (pieceFormat == format) {
         // found what we want
         downloadUrl = fmtPieces[1];
         break;
        }
       }
      }
     }
    }

    filename = cleanFilename(filename);
    if (filename.length() == 0) {
     filename = videoId;
    } else {
     filename += "_" + videoId;
    }
    filename += "." + extension;
    File outputfile = new File(outputdir, filename);

    if (downloadUrl != null) {
     downloadWithHttpClient(userAgent, downloadUrl, outputfile);
    }
   }
  }
 }

 private static void downloadWithHttpClient(String userAgent, String downloadUrl, File outputfile) throws Throwable {
  HttpGet httpget2 = new HttpGet(downloadUrl);
  httpget2.setHeader("User-Agent", userAgent);

  log.finer("Executing " + httpget2.getURI());
  HttpClient httpclient2 = new DefaultHttpClient();
  HttpResponse response2 = httpclient2.execute(httpget2);
  HttpEntity entity2 = response2.getEntity();
  if (entity2 != null && response2.getStatusLine().getStatusCode() == 200) {
   long length = entity2.getContentLength();
   InputStream instream2 = entity2.getContent();
   log.finer("Writing " + length + " bytes to " + outputfile);
   if (outputfile.exists()) {
    outputfile.delete();
   }
   FileOutputStream outstream = new FileOutputStream(outputfile);
   try {
    byte[] buffer = new byte[2048];
    int count = -1;
    while ((count = instream2.read(buffer)) != -1) {
     outstream.write(buffer, 0, count);
    }
    outstream.flush();
   } finally {
    outstream.close();
   }
  }
 }

 private static String cleanFilename(String filename) {
  for (char c : ILLEGAL_FILENAME_CHARACTERS) {
   filename = filename.replace(c, '_');
  }
  return filename;
 }

 private static URI getUri(String path, List<NameValuePair> qparams) throws URISyntaxException {
  URI uri = URIUtils.createURI(scheme, host, -1, "/" + path, URLEncodedUtils.format(qparams, "UTF-8"), null);
  return uri;
 }

 private static void setupLogging() {
  changeFormatter(new Formatter() {
   @Override
   public String format(LogRecord arg0) {
    return arg0.getMessage() + newline;
   }
  });
  explicitlySetAllLogging(Level.FINER);
 }

 private static void changeFormatter(Formatter formatter) {
  Handler[] handlers = rootlog.getHandlers();
  for (Handler handler : handlers) {
   handler.setFormatter(formatter);
  }
 }

 private static void explicitlySetAllLogging(Level level) {
  rootlog.setLevel(Level.ALL);
  for (Handler handler : rootlog.getHandlers()) {
   handler.setLevel(defaultLogLevelSelf);
  }
  log.setLevel(level);
  rootlog.setLevel(defaultLogLevel);
 }

 private static String getStringFromInputStream(String encoding, InputStream instream) throws UnsupportedEncodingException, IOException {
  Writer writer = new StringWriter();

  char[] buffer = new char[1024];
  try {
   Reader reader = new BufferedReader(new InputStreamReader(instream, encoding));
   int n;
   while ((n = reader.read(buffer)) != -1) {
    writer.write(buffer, 0, n);
   }
  } finally {
   instream.close();
  }
  String result = writer.toString();
  return result;
 }
}

/**
 * <pre>
 * Exploded results from get_video_info:
 * 
 * fexp=90...
 * allow_embed=1
 * fmt_stream_map=35|http://v9.lscache8...
 * fmt_url_map=35|http://v9.lscache8...
 * allow_ratings=1
 * keywords=Stefan Molyneux,Luke Bessey,anarchy,stateless society,giant stone cow,the story of our unenslavement,market anarchy,voluntaryism,anarcho capitalism
 * track_embed=0
 * fmt_list=35/854x480/9/0/115,34/640x360/9/0/115,18/640x360/9/0/115,5/320x240/7/0/0
 * author=lukebessey
 * muted=0
 * length_seconds=390
 * plid=AA...
 * ftoken=null
 * status=ok
 * watermark=http://s.ytimg.com/yt/swf/logo-vfl_bP6ud.swf,http://s.ytimg.com/yt/swf/hdlogo-vfloR6wva.swf
 * timestamp=12...
 * has_cc=False
 * fmt_map=35/854x480/9/0/115,34/640x360/9/0/115,18/640x360/9/0/115,5/320x240/7/0/0
 * leanback_module=http://s.ytimg.com/yt/swfbin/leanback_module-vflJYyeZN.swf
 * hl=en_US
 * endscreen_module=http://s.ytimg.com/yt/swfbin/endscreen-vflk19iTq.swf
 * vq=auto
 * avg_rating=5.0
 * video_id=S6IZP3yRJ9I
 * token=vPpcFNh...
 * thumbnail_url=http://i4.ytimg.com/vi/S6IZP3yRJ9I/default.jpg
 * title=The Story of Our Unenslavement - Animated
 * </pre>
 */

3 steps:

1. Check the source code (HTML) of YouTube, you'll get the link like this http%253A%252F%252Fo-o.preferred.telemar-cnf1.v18.lscache6.c.youtube.com%252Fvideoplayback ...

2. Decode the url (remove the codes %2B, %25, etc), create a decoder with the codes and use the function Uri.decode(url) to replace invalid escaped octets

3. Use the code to download stream:

        URL u = null;
        InputStream is = null;  
        
        try {
            u = new URL(url);
            is = u.openStream(); 
            HttpURLConnection huc = (HttpURLConnection)u.openConnection(); //to know the size of video
            int size = huc.getContentLength();                 
 
            if(huc != null) {
                String fileName = "FILE.mp4";
                String storagePath = Environment.getExternalStorageDirectory().toString();
                File f = new File(storagePath,fileName);
               
                FileOutputStream fos = new FileOutputStream(f);
                byte[] buffer = new byte[1024];
                int len1 = 0;
                if(is != null) {
                    while ((len1 = is.read(buffer)) > 0) {
                        fos.write(buffer,0, len1);  
                    }
                }
                if(fos != null) {
                    fos.close();
                }
            }                       
        } catch (MalformedURLException mue) {
            mue.printStackTrace();
        } catch (IOException ioe) {
            ioe.printStackTrace();
        } finally {
            try {               
                if(is != null) {
                    is.close();
                }
            } catch (IOException ioe) {
                // just going to ignore this one
            }
        }

That's all, most of stuff you'll find on the web!!!

I am guessing the reason you cant play a saved video is that you are saving a string instead of byte[] data of the video.

Try using instead BufferedInputStream to read bytes And use FileOutputStream to save those bytes to the file

Dont use StringBuilder

You have to know the video url to download it. You can try to parse the html file to find it, but you need to know what you are looking for, is it <video> tag or <object> tag with flv file...

Let's reverse the approach. You already know we're looking for URL like https://img-9gag-fun.9cache.com/photo/a2ZG6Yd_460svvp9.webm (To obtain URL of the video you could also right click it in Chrome and select "Copy video address").

If you search page source you will find a2ZG6Yd_460svvp9.webm but it's stored in JSON inside <script>.

That's not a good news for Jsoup because it can't be parsed, but we can use simple regular expression to get this link. The URL is escaped so we have to remove backslashes. Then you can use Jsoup to download the file.

    public static void main(String[] args) throws IOException {
        Document doc = Jsoup.connect("https://9gag.com/gag/a2ZG6Yd").ignoreContentType(true)
                .userAgent("Mozilla/5.0 (Windows NT 6.1; Win64; x64; rv:25.0) Gecko/20100101 Firefox/25.0")
                .referrer("https://www.facebook.com/").timeout(12000).followRedirects(true).get();

        String html = doc.toString();

        Pattern p = Pattern.compile("\"vp9Url\":\"([^\"]+?)\"");
        Matcher m = p.matcher(html);
        if (m.find()) {
            String escpaedURL = m.group(1);
            String correctUrl = escpaedURL.replaceAll("\\\\", "");
            System.out.println(correctUrl);
            downloadFile(correctUrl);
        }
    }

    private static void downloadFile(String url) throws IOException {
        FileOutputStream out = (new FileOutputStream(new File("C:\\file.webm")));
        out.write(Jsoup.connect(url).ignoreContentType(true).execute().bodyAsBytes());
        out.close();
    }

Also note that vp9Url is not the only one there, so maybe the other one will be more suitable, for example h265Url or webpUrl.