Actually internet explorer wil automatically download all flash video that you watch. If you got take a look at your temporary internet files you can just pull them out of there.

 

How do you do it? I tried dragging the files to my desktop, but it does not work. It just goes buffering 0%. This the file I am trying to get http://eplusf.flvmaker.com/mc1.swf?...?id=oOx1PpC6CnVRErFGK_GFFRpZq0831pmMjZRFf/CimRDakNL5rAMVqz2B4/IBxkDW5n/XP2GjESV.

 

Run the video in your browser, making sure it fully loads, then go to the temp folder where you should see the complete file.