It uses MMS (Microsoft Media Services) to stream the unicast data, which already means its gonna be tricky to get. It does not seem to save it to the temporary internet files, which means you can't copy it from there, and you can't do a direct link save. So you are gonna have to live stream save it. This can be done using (open source) VLC Media Player
http://www.videolan.orgDownload it from there, and install the program.
Open VLC up, and either press Ctrl+F, or go to File>Open File..., or Click the arrow that looks like the open button on your cd drive.
On the website, choose the video that you want to save this time. Instead of left clicking it, right click it and choose "Copy shortcut".
Go back to VLC, and where it says "Open", paste the web link there. In the "Advanced Options" section, click the "Stream/Save" button, then click "Settings".
Ignore the "Stream output MRL", it does this section automatically. Instead, in the "Outputs" category, click the "File" box, then the "Browse" button, and then browse to the folder you wish to save the video in. Type "filename.wmv", replacing "filename" with whatever you want to call it, and ".wmv" without whatever extension the video used on the website, which I believe is still ".wmv" from memory. For "Encapsulation Method", I would choose either MPEG 1, or MP4. For "Transcoding options", check the "Video codec" and "Audio codec" boxes, then choose the appropriate options. I would probably choose WMV2 for the video codes, and MP3 for the audio codec, just for compatability reasons. Then press "OK" at the bottom of that window. Press "OK" again at the original "Open" window. It will now play through the video (but won't display it to you). When it gets to the last one second, it may or may not play it. If it doesn't, just click stop, then proceed to open the file normally from your hard drive with either Windows Media Player, or VLC media player. If it doesn't work with Windows Media Player, it will work with VLC, because VLC is good
Hope that helps.