Optionally, if the Web page author uses a script to disable the context menu (rt click), you can just download the file directly. In IE, go to View menu > Source and use Find to search for the name of the video in the Web page source code. Paste the url in the addrress bar or create a small html file with a link to the video.
example of a video at www.domain.com:
<a href="media/video/video-file.wmv">Watch Video</a>
Search the source code for video-file.wmv. The url to put in address bar would be www.domain.com/media/video/video-file.wmv
. Or put this in a Notepad doc and save as video-file.html:
://www.domain.com/media/video/video-file.wmv">Watch Video</a>. You will be able to rt click "save target as" and download the video directly.
And depending upon the type of video, you can often use File menu > Save as in Media Player, after the video has fully downloaded.