It's easy!
1- Let us assume you just finished viewing a movie clip on YouTube.
2- In your internet explorer, open <tools> then <internet options>, then in general tab, go to settings. then <view files>
3- You will be navigated to <internet temporary files>
4- In the right pane, click <type> to sort the temporary files by file types.
5- Look for the file type <FLV type>, these are the temporary files of the movie clips you just viewed.
6. Transfer or copy the desired file to another folder and rename. Play using windows media player.
Note: It will be more advisable to clean all contents of the internet temporay folder before doing the 6 steps I enumerated above. The files with file extension FLV can be played by windows media player.
Enjoy!!!
Eddie