[Excaliber]

Not all of them offer that option.

One 'trick' is to clear you cache (Temporary Internet Folders), then launch the video. When it plays it is often (not always) now in the 'cache'. There is a LOT of files in there, but much less since you emptied it. Now open Windows Explorer and find it. Search function won't usually work, you have to track it down manually and the name may or may not be anything like the file you just watched. It will be a 'movie' of some kind and that is you clue. Even if you DO find it, it may require some special software to view it independantly on your computer. If you find it in the cache you CAN save it, it has been 'down loaded' to your hard drive!