Unfortunately its a two step process. 1) download to DVR 2) play from DVR. They haven't yet figured out how to "instant stream" like Netflix, Amazon, HBOGo, etc..
On my xbox I can pull up HBOGo and pick something like Game of Thrones for example. It just starts playing instantly. No downloading, no buffering. It just works at the click of a button (just like Cable VOD). The quality is excellent too. I have 12mbps coming in and that should be fine to instant stream anything in HD. HD can come in around 7-8mbps, so that still leaves some headroom in my connection. With DirecTV I have to find something and "record" it. Exit and go into the playlist and keep checking on it. Sometimes it says Pending Download. Sometimes its ready to start playing. You never know. Its not a consistent easy user experience like Netflix, Cable VOD or HBOGo. Its in and out of menus. They don't even offer a "Play now" or "Stream" option in the details of a VOD program. In fact if I miss something on HBO, I use HBOGo on my xbox rather than "download" it and waste hard drive space on my DirecTV DVR.
Another problem is you can't get VOD on a non-dvr. I wish they would change this. If the system detects you have a fast enough connection, it should stream. There's BluRay players out there that don't even have a hard drive AT ALL - but they can stream Netflix, Amazon, Pandora, etc...
Don't get me wrong, I'm ok with a "Record" option in a VOD title. Great for queing things up to watch later. However I think DirecTV should also have a Play Now option to instant stream. This would be the only option on a non DVR, and it would only show up if it detected you had a good enough connection to do so.
