This is covered fairly well in my other page on how to select the perfect newsgroup downloader. However, we're going to talk about it here once more.
First of all, let's both agree that there are several different kinds of groups:
Below is an example of a newsgroup downloader (in particular, SBNews: News Robot) downloading a picture of the very lovely Miss Courteney Cox:

So, as you can see, we're downloading a "still image" -- a nice jpeg image of good ol' courteney from the alt.binaries.pictures.celebrities newsgroup.
Now, on the other hand, if we went into the newsgroup "alt.binaries.tv.friends", then we what we will find is a whole bunch of episodes from friends that someone has bootlegged and put up on the internet. Let's look at the QuadNews Pick and Choose dialog and see what's there:
We can see a whole bunch of very big files (30 megabytes each) that hold part of one of the friends season 6 episodes. So there you have it, you can see two newsgroup downloaders in action:
SBNews being used to download pictures of Courteney Cox
... and QuadNews being used to download videos of friends (including, or course, the aforementioned lovely courteney cox).