Paste your question into a Google search (or click on the search link I've provided for you) & you should get some results. There are several software solutions that allow one to do that.
This is one way. If you use Internet explorer, you can simply save them from your cache. Tools>Internet options>(under browsing history) settings>view files. Locate the file(usually a large file highlight and copy the file to wherever you want. It will be a flash video and can be played with VLC.
quickest way.... use firefox and go to add-on and download "download helper" whatever you watch -> click on the 3 balls (green, blue, and red??) -> pick a spot to download in... done.