Right click on the link below and select "Save Target As.."
 
Select a spot on your hard drive to download the file to and then you're set!

Video
 
NOTE:  If you just click the link the video will open up and play however the file will not be downloaded to your hard drive and thus you might not be able to view the file again at a later date.  Make sure to click "Save Target As" to download it to your hard drive.

OR

Once you have the movie fully downloaded inside your media player you can go to File > Save as...  You should be able to save it that way also.