I do not use that site, but I'm going to assume it's a flash video site, thus they're using FLVs in embedded SWF players. If this is the case, you just need to download the FLV and convert it to an AVI, or whatever.
I'm not big on doing that, I'd rather get it in it's original quality, but I'll point you to google.
Download FLV
FLV Converter