Here are the steps. You will need QuickTime Pro 7 version (www.apple.com/quicktime) and the free Flip4Mac WMV Plugin (
http://www.flip4mac.com/download.htm) to do this and OS X. Windows folks can try it out, but I'm not testing it on that platform since the Mac version works fine.
1. Let the video play and stream all the way or whatever portion you want to save.
2. If you have the Flip4Mac WMV Plugin, you will see a controller that allows you to select the video. Copy the portion.
3. Open QuickTIme Player (Pro version) and paste. The movie will be there, yet you won't be able to save it.
4. Select the video and drag it to your desktop. You will see a ghost image of the video when you do this.
5. You will then have a movie clipping of the video on your desktop. Rename it and play.
That's it!