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I think VLC is capable of downloading streaming video locally. I've not had any success trying this feature, but that was with an old version of VLC.
 
The video you indicate doesn't seem to be available in the servers any longer.

In any case, I think that for those available you would need Quicktime PRO in order to save the file in you disk

cheers!
 
doesn't QuickTime pro let you save them? I think I've done it before but I'm not at my comp to try.
 
doesn't QuickTime pro let you save them? I think I've done it before but I'm not at my comp to try.

Nope.
QuickTime Pro does let you save "normal" movies, but not streaming. Streaming video is never fully downloaded in cache. You always download a small part, then play it, and the cache is then removed.
 
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