It depends on what kind of video it is. If its streaming video this is a good article:
How to capture steaming video and audio.
But if you're talking about flash players, such as the kinds used for YouTube, and Google Video, you can save the embedded flash file in Firefox by right-clicking on the page-->clicking on "view page info"-->click on the media tab--> and find and save the correct file.
Hope that helps. If not let me know.