Using Opera, I just copied the video file from the '..\Opera\profile\cache' folder (at the end of the video, before closing the tab or browser).
If you hit play again at the end of the video, does it play right away, or start streaming from the website again? It is possible Firefox and IE handle the video differently...
In Firefox the path to the cache folder may be something like 'C:\windows\Application Data\Mozilla\Firefox\Profiles\dazzbqfk.default\Cache' - type about:cache in the location bar and you should see the cache path and a link to list the files (at least in Firefox 2). I believe there are a couple Firefox extensions for downloading streaming video, as well (I recall someone saying somewhere that with whatever installed, you could right click on a video to save it, or something like that).
You should also be able to find the video (at least before you close the browser and/or tab) by searching your hard drive for files greater than 25MB created in the last day (for example), by going into the advanced settings of Windows Search (check off the option to search hidden and system folders).
