depends it its a QuickTime format or Flash format video. to download a Flash video use Tubetv if its a QuickTime video you need to purchase QuickTime Pro.
Have you heard of the Safari trick that lets you download just about anything from a website, even if there's no obvious way to grab it from the site? Summon the Activity window, find the item you want to download, then hold Option/Alt (on the Mac) or Control (on Windows) and double-click the item.