I managed to save it. I use the <A HREF="http://www.opera.com/">Opera</A> browser and after watching it, I simply copied it from the cache.
You should be able to do the same thing with whatever browser you're using. (ie. if your using Windows XP and IE, go to "C:\Document and Settings\<your username>\Local Settings\Temporary Internet Files" and look about for an 11MByte WMV file) Hope that helps.
Nice post... although i wish they had higher quality audio.