Here is what you can do if you use Safari:
First, go to the page with the video you want, load it, or press play to start streaming.
Second, While its loading, or done loading, go to Activity under the Window Menu. Find your video in the drop-down menus/folders. Your video should be the largest file. To download this file, just double click the file/weblink. Once, it is downloaded you might need to find a program to play it, most of the time it will be a Flash File [FLV]. Maybe something like VisualHub, could convert the video to QuickTime?