To save the file in a specific place (such as your desktop or another folder), right-click on the appropriate file format link and choose the "Save Target As ..." option (This is the same as the "Save Link As..." option in Firefox). Then name the file and save it to your hard drive as usual. On an Apple computer, hold down "Ctrl" and click the appropriate file format link, then choose "Download link to disk." You will now be able to retrieve and play the file at any time from the location selected on your computer.

*Please note: If the video you are trying to view is either streaming or protected, you may not be able to save the file to your hard drive.