if you have QuickTime Pro you can save the movie using the dropmenu in the lower right corner of the movie's window...
if you use netscape, you can get it out of the netscape cache folder, look for a file of the same size as your movie and that will be it. this method may also work with iCab, i'm not sure if it does yet, i haven't tried it. i don't know how to do this with IE, maybe it can't be done as IE uses a different method of cacheing.
you can open the netscape cache window and set the window to show by size