Is there any way I can watch VR videos on websites the same way I watch videos from SMB or local files? I don't want to watch it through the web browser. I read somewhere that I should click the download link and it will stream from the download link. But what if the site doesn't have a download link? Is there any way around that?

Play the video on the website. Then click on the icon near the top left corner that looks like a magnifying glass with a play button inside. There'll probably be several links for m3u8 or mp4 listed (those are video sources loaded on the web page). Click on a link to play it in full screen.