To save the movie you might have to do the following in IE:
Click on Tools, Internet Options...
Click on Settings
Click on View Files
Locate the movie file and right click on it and select Copy
Then paste it into your preferred folder.
The movie may have some protection that might prevent it from being simply
saved from within IE. The final movie can be turned into quicktime if you
have QT pro. The video will have the web address of the source in the lower
right corner. If you wish to get rid of that you need an animation editor.
QT pro may be able to do it, but I have not tried that.