Where are internet temporary files kept?

Often one sees streaming video in IE, Safari or Firefiox.

I would like to be able to save streaming video as a file that I can watch later at my leisure (without having to go to the original site each time).

I believe that if one waits until the entire video has played then the entire video will be in file in a temporary area somewhere on ones computer.

Does anyone know where that area is and how to save those files (issue here might be their format, etc).