if it's not streaming, which i'm pretty sure this one isn't, the easiest way would be to open the Activities window (Window-->Activity) and find the .mov file that is loading... it'll even show you the file size... then just option-double click it, and it will start downloading straight to your hd...
it is a bit annoying, however, that even if you loaded the whole thing in your browser, you have to dl it again, but.. oh well...
reality