Follow Ethel's instructions, then click on 'Download link', immediately above the note, in red, about renaming the file. If you're offered the choice between opening the file or saving it, choose 'Save to disk' and click 'OK'. (You might need to click it twice).
You'll then see a box which lets you navigate to the required location and allows you to rename the file. The bit about renaming the file to get_video.flv is just an example. You should choose your own file name (but still ensure that you add the .flv file extension). e.g. you can choose 'FriendsEpisode1.flv' Then click 'Save'.
Once you've saved the file onto your hard drive, you'll want to be able to view it. Windows Media Player doesn't recognise the FLV format, so you'll need to download a suitable player. The most popular option is VLC but I think that GOM is better:
http://www.videolan.org/
or
http://www.download.com/3000-20-10551786.html
You can burn your FLV file to a CD but you'll only be able to watch it on a PC which has a suitable player loaded. If you want to be able to view the file on any PC, you'll need to convert it to a file format which is recognised by Windows Media Player (such as AVI or MPEG). If you want to copy the file to DVD, for viewing on any DVD player, you'll need to convert it to VOB format. Look for a suitable conversion utility here:
http://www.download.com/3120-20_4-0-1-0.html?q t=convert+flv&author=&titlename=&desc=&dlcount =&daysback=&swlink=&gfiletype=&os=128&li=49&dl size=&ca=
Chris