It's a Macromedia Flash movie, so I don't think you can easily save it in it's native format, but you can always - if you can afford it - use Snapz Pro X to capture it.
Typical of me. I probably should have at least Googled it first... keepvid didn't link to any players for Mac, so I assumed there weren't any since VLC doesn't play it 😱
A simple Google search brings up a lot of free, but not to easy ways to do it. You can save from Safari then convert to MP4 via something like FFMPEGX. But it can be a pain in the butt.