Not sure what browser you're using but after it's done downloading, you can pull it out of the temporary internet files
If have Internet Explorer, go to: Tools/Internet Options/General Tab/Browsing History/Settings button/View Files Button. That should open up the folder for Temporary Internet files. You'll find it in there. What I do before saving a video to aid in finding it easier (some aren't labelled well), is to open that folder and click on: View/Details, and then list them by "size" and delete all the large video files such as past video downloads, programs, etc. Then refresh the flash video that you want to download and when it's done, refresh the open temporary folder and you'll find the movie as an flv file.
As mentioned, you will need a player to see these. I use this one to play almost everything:
http://mpc-hc.sourceforge.net/It would be really handy if they had these on the FTP site, but I couldn't find them on there.
Dave