It is quite simple. After viewing the video, go to Windows Explorer, find C:\Documents and Settings\~[YOUR USER NAME]\Local Settings\Temporary Internet Files, sort by Last Accessed with the most recent at the top, find the FLV file (usually ends in .flv) and copy it to a permanent directory.
You will need a .flv media viewer to watch it and there is a free one at this link.
Ok, I have it saved.