What browser are you using?
If you are using firefox it is dead simple.
1. Get the "down load helper" plug-in for firefox ----(FREE from firefox website. This will let you save at clip as a intact .FLV file into a download folder.)
2. Go to the site where the clip is and play it. -----You MUST let the whole clip download into your computer's cache (e.g in youtube i.e let semi-opaque the bar get to the end)
3. Open the download folder (the plugin's download folder not the OS X one on the dock, [to find it just click on the add-on'd icon on firefox's tool bar]) and drag the .FLV file to where ever you want it.
3. export the FLV file to a more usable format. Done. e.g export to MP4 using handbrake . (several ripping programs will load .FLV, but handbrake is FREE and simple, and with youtube size clips, not too slow
should take only a minute to do.