Look in your "temporary internet files" Sometimes videos you have watched are in there.
Use Net Transport. For some reason, I can't get through to their site, but here is the google cache of the site:
http://64.233.161.104/search?q=cache:BHB7lnkLaV0J:www.xi-soft.com/default.htm+&hl=en
Sometimes you can right-click on the video link, then choose "save target as" from the menu that appears.
If you can post the http location of the site and which video it is, I'll see if firefox will allow you to save the media.
Firefox has a built in utility to save videos that are embedded within websites. Let me know, and I'll help you out.
Yes - try this one:
http://www.wmrecorder.com/wmvcr.php
mark