Saving videos from the internet

Is there any plug ins (offical or not offical) for Windows media player that would let you save videos from the internet?

I'm a big Ali G fan and I just found out TNT have these adverts:
www.respectandtruth.com/
(Also at alt.tnt.tv/nba/popup.htm)

And would love to save them on my PC as while there on my libary, if they ever take down the videos I won't be able to view them again.

So is there anyway to save them to my PC?

Thanks