You can copy the "flv" file from the temporary internet files folder
Just click on "tools" on your browser bar
Then click on "internet options"
A new window (small) will pop up, click "settings" next to browsing history
Another small window will open, click on "View files"
The "temporary internet files" folder will open and you can search in there for the most recent item to find the "flv" file from the youtube video. Then right click and copy and paste in your video folder. Windows media player can play the "flv" files.