I had read this thread awhile back that contained a link to what turned out to be a rather disappointing video clip (as most of them turn out to be - for me at least). But the upshot was a reference to a nifty little flv player (freeware) which allows you to view em on the fly. Here's the website:
martijndevisser.com: FLV Player updated
Whenever you run a clip in Explorer it saves it to a temporary file (almost always). This is true of wmv., mpeg, flv, mov, avi, and most other video files. On most computers just bring up your explorer (windows explorer, not the browser), go to local disk/documents and settings/(your name)/ local settings/temporary internet files (or wherever you computer stores temporary internet files) and copy the files to another location.
You have to do this before logging off your web browser because if you're set up like my system it'll clear all of the temp files when you do.