No. There is no way to save a RTSP stream with the QuickTime player. This is an included copy protection "feature" for media authors.
In order to save a streaming movie, you would need to get it via some other transport, i.e. FTP or AFP access to the server, or in the case of some of the MacWorld Expo keynotes, via HTTP from the server.
There are other threads describing how to download and save MacWorld Expo keynotes. Do a search for "download keynote"
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