You can get Rudy all in one file at the GOP site with the URL:
mms://a235.v126583.c12658.g.vm.akamaistream.net/7/235/12658/v0001/streaming.gopconvention.com/video/20040830_Giuliani-1.wmv
I avoided the GOP site because their video quality is not as good as on Fox, but Rudy's speech is an exception to this. You will have to either rename the file to the Fox format, or alter the playlist to make the playlist work.
If anyone else wants videos the GOP sight, start playing the video from their site, right click on the video and select Properties to get the location. Copy the location and past that into Net Transport, but change the http at the start of it to mms first. Their Bush video has the crossing flags entry.
I also noticed an error in the playlist that would cause it to skip the Miller/Matthews video. It has been updated, so just download it again.