To HellsKitchenmanNYC:
That movie is in Adobe Flash format, and does cache on your PC, but you can't replay it from cache. You'll need a capture software to save it for replay later.
I have Replay Media Catcher (applian.com) which captures videos from Xtube, Youtube, etc. and it works very well in capturing any flash video. It also allows you to capture streaming music from the Internet to MP3. It was the best $40 I ever spent. Now I just can't stop saving all those porn flicks to my hard drive !