Pretty easy, as I save all interesting videos I find.
1. Go to http://keepvid.com/
2. Copy the URL for the web video location into the blue/white URL box at the top of the page (this is shown over the top of the video usually).
3. Click download in the same box on the right.
4. Put in the online security code it shows.
5. Give it a few seconds, it will give you choices for a low-res or hi-res download. I usually do the hi-res.
Takes a few seconds more...then download file to your computer.
And yes, I grabbed the video here as well