Ant Video Downloader is a useful extension for Firefox or Internet Explorer. It works with most web pages that have got video content on them. You simply need to click on the button, which will be added to the top of your screen, to save the video. (Hint: Before doing so, it's a good idea to click on the downward arrow next to the button and then on 'Preferences', as that lets you choose the location that downloaded videos will be saved to).
http://www.ant.com/video-downloader