Some movies are protected by the author so that you can not download them (either using Kiosk mode, or streaming the movies via RTSP).
Do you have a specific URL you are looking at?
Sometimes you can view the source of the web page to get the URL for the QuickTime file and then download that to your disk (using CURL in the Terminal for example).
Or you can paste the URL into the 'Open URL...' dialog in QuickTime Player. If you do this you can save the movie with dependencies, and then import that 'bookmark' movie into your preso. You will need a live network connection, but when you get to that slide, the movie will load an play from the network.