Originally Posted by Carotio

As Reece put it. Just go to temporary internet files folder using IE or the cache folder using FireFox just after the browser has finished loading in the video. Look at the latest accessed files.
If IE, copy the file, if flv, mpg, avi, mp4, jpg or whatever, and paste it to your preferred location. VLC plays most videos, otherwise a FLV player.
If FF, it's the cache you have to look at, and there all files ar just given strange codes in the names, but it has worked for me so far to look at the latest accessed files, copied the largest one to a secure location and named it something like SH5preview.flv
You can even download a flv plugin for windows media player, if you prefer that player, but it doesn't always play those FLVs, so flv player or VLC are the best.