Instagram shows most videos only to signed-in users. Adding the cookies of a signed-in session lets the script download them.
Use a separate Instagram account. Cookies give full access to the account they come from, so never use your personal one.
Log in to your Instagram account in Chrome, Edge or Firefox
Press F12 to open the developer tools
Open the Network tab and choose Doc
Refresh the page
Click the first request and find Request Headers
Copy the whole value after cookie:
In your admin panel, go to Settings → Platform Cookies, paste it into Instagram cookies and save
The value must contain sessionid. If it does not, you were not logged in when you copied it.
Do not use cookie export extensions such as cookies.txt. Their file format does not work here, and some of them have been removed from the Chrome Web Store for stealing cookies.
Cookies expire after a while. If Instagram downloads stop working, log in again and replace them.