With regards to the grouchy media vids, does anyone have a link to the British version of the "Die Motherf**ker Die" vid? it is the same song but with British clips and stills, I saw it some time ago but havnt been able to find it since?
Don't know if this has been answered yet, but it depends on the file type. If the video says '.avi', '.wav' or '.mov', hold the cursor over the link or icon and right click. In the menu it says 'Save Target As'. click and you should get a menu asking you were on your computer you want to save it, select a location, give it a name you'll remember and click save.
Should work for disk too but I haven't used one in ages and don't even know what size they are. Video eats bytes like nothing else, so you may have to copy to DVD, or copy video file to an external hard drive using Firewire (aka IEE 1394 - a wire that connects a DV camcorder to a computer, or external hardware to computers. Basically like USB but waaaaaaaaay faster), then play video through your normal computer video player, but from the external device.
If this doesn't work, you'll need video editing software. You don't have to spend loads on this as some can be scarily expensive, all it needs to do (for your requirments) is render footage as .avi (or the other file formats listed above). Render basically means 'cook' footage so that any titles or effects etc are included in the new file. As you're just after slamming it onto disk you can ignore that. The 'Render As' command is where ever the 'Save As' and 'Save' commands are.
Google video, and probably other search engines, have the facility to download video's pre - configured for storage and playback on your computer, and even your iPod, which is cool.
Hope this helps, sorry if it's all waffle, give us a shout if it is and i'll find somewhere that can explain it a bit better!