First it's important to establish the difference between OneDrive for business and OneDrive for personal use as they treat media files and their sharing in different ways.
Here's a video explaining everything in detail.
OneDrive for business
With OneDrive with business you get a share URL that looks something like this:
This won't work as it wraps the video in the OneDrive video player.
All you need to do is replace that end query "?e=xxxxxx" with "?download=1" resulting in:
OneDrive for personal use
When using OneDrive on a personal account you get the embed code with the following link:
And again the change is simple. It just requires us to change the word "embed" with the word "download" resulting in:
There is also this nifty tool available for automating this process.
Microsoft OneDrive Download URL Maker