I noticed that they do save in your Temporary Internet Folder, but I haven't figured out yet how to play them locally.
If you ever do let me know.. Damn, there so much awesome vids on that site. Look at this one, an awesome Reagan tribute. There should be a thread on Freep on this one video alone!
http://www.youtube.com/watch?v=Ac5xFOC9otw&search=Ronald%20Reagan