If you follow a link to get to the media you want to save, just right click that link and click "save targes as..." and you can save a copy to your hard drive. It is a bit weird how you can't export from Quick Time though...man I hate apple
A tip if you don't follow links to get to it: Goto Start -> Find, search for *.mov and you will find all of the movie files on your hard drive. If Quick Time caches them, they will show up (there probably won't be many since Quick Time isn't popular for Windows)...