The short answer is no. If the movie is being served by an RTSP server, there is no way to capture and save the movie bits. If the movie is also being served via HTTP (as in the case of the MacWorld Expo keynotes) then you can save the file as you normally would.
There are techniques (SnapzPro, etc), to recapture the video and/or audio, but these are inelegant, and are more akin to taping a show on TV, rather than getting the original.
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