Try right-clicking on the video link in Internet Explorer (or whatever browser) and choosing "Save File As" or "Save Target As", and then giving it a folder and filename.
If this doesn't work, you may be accessing a streaming video that cannot be saved. RM (real media) files are probably the most common video files of this type you will encounter. Some can be saved, (and there are, I understand, programs that will intercept any real media stream and save it), but in many cases, the video is streamed from the server, and when you try to save it, all you get is a link to the file.
They do this for several reasons: one is that it keeps bandwidth requirements down, and another is that the video is copyrighted and they don't want copies of it floating around.
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