See it free here
You can see a stream of part 1 here:
http://www.archive.org/stream/AdaCurtisCenturyoftheSelf_0/Century_of_the_Self_1_of_4.mp4
All four parts are available from the Internet Archive, just check the links, both in streaming and downloadable form. The file format however is in .mp4, so the video isn't DVD quality.