There is actually an alternative to simply recording what is on screen, by using a stream capture utility.
For saving streaming wmv/mms/asf content I use
ASFRecorderX.
Now the only downside is it is a bit complicated to get the needed URL to save the stream. In your case for the above link, you must first download the .wmv file you linked to (It should only be a few kb in size). You then must view the .wmv file with your favorite text editor and find the streaming URL (in this case it is a mms:// link). Once you have that URL, you may or may not have to combine that properly with the previous .wmv url filename which is a bit of hit and miss as there are many combinations(as different servers set up their streaming url layout differently), but usually you should be able to figure it out after a few trys (bit confusing yeah?)

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For this file I will save you some time and I got the URL for you...
Download and open up ASFrecorderX, and set it's 'Tool' field to mmsclient.
The URL you need to use is..
Code:
a1492.v13871b.c13871.g.vm.akamaistream.net/7/1492/13871/42935e69/sony.download.akamai.com/13871/wm.sony-local.global/o/outlandish/video/outlandish_kom_igen_250.wmv
Then just hit start and after a while (and a whole lot of media packets later) you should have your .wmv file saved for easy viewing offline.
Just to note, the save feature is a bit funky. Depending on where you set the Destination Folder to save the file, it most likely will save the .wmv file to '/' (your systems root directory) or '~/' (Your home directory). I mention this because even though I set it to save the file to the desktop for some reason it never does.