i dont think it is the case with this, but with other videos (such as from stuntcook.com which doesnt allow you to save) if you have firefox just rightclick on the page somewhere and click "view page info" and then the "media" tab and then look in the list for something like "embedded" and make sure its a media file and then highlight it and then click "save as". thats for sites that try to prevent the downloading when a media file is playing in the page.
irrelevant in this case, but good info nonetheless.