Since it's on Google Video you'd need to download and install the Google Video player software and then the gvp file. I believe though that each time you watch it "locally" it still streams down.
The other option is to get something like Video Downloader and FLV Player and play it that way. Video Downloader is an extention for Firefox and includes a link and instructions for using the FLV player software you can download seperately. It's good for saving videos, in low quality, from YouTube, Google Video and other sites.
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