There are dozens of free converter programs on download.com.
Its really easy.
IIRC there are even web pages that you can type the You Tube URL into, and it will in turn offer you a WMV or other chosen movie format for download.
Funny you should ask, I just did this. Download a free tool called youtube downloader from cnet here: http://download.cnet.com/YouTube-Downloader/3000-2071_4-10647340.html this will download the file then once downloaded you can use the same program to convert the downloaded video to the format you need.