There are quite a few programs that download flash movies from sites and iTube is one of them. Here is a simple guide on how to use iTube.

However, iTube will only work with Youtube, DailyMotion, Google Video, Metacafe, Myspace and Blip.Tv. Therefore you can use http://keepvid.com/, a site that will download the video you are watching on just about any site out there.

If you are using Firefox as your default browser you can accomplish this by installing an extension. UnPlug is an extension which lets you save video and audio which is embedded on a webpage. Install the extension and when you are on a page with a movie that you want to save just go to Tools -> UnPlug and download the movie.