Perhaps you checked out the video I posted yesterday. It's hosted on YouTube, the free video sharing service owned by Google. YouTube offers no way to download video as they'd prefer you to visit their website each and every time you want to view a movie. If you do manage to download the video to your desktop, YouTube videos are in Adobe Flash format (.flv), which requires special software for playback.
There is software that will download and covert YouTube videos for you. YouTube to iPod Converter is free for Windows users and PodTube is $5 for Mac users. Or, for $15 Windows or Mac users can use TubeSock. Whatever software program you use, you simply paste the web address of the YouTube video you wish to download. The software will pull the video from YouTube's site and then convert it into a friendlier format of your choosing. I prefer videos to be in MPEG-4 format because then I can play them in QuickTime, on an iPod or PSP, or in The Core Pocket Media Player (free) for Palm or Pocket PC.
If you don't want to mess with software, you can use the online service Vixy.net. Like the software options above, you paste the YouTube URL into Vixy's web page. Vixy will convert the video for you and then save it to your desktop--no software required. Don't be fooled by the option that says MPEG-4 for iPod/PSP. Even if you're viewing on a Palm, Pocket PC, or desktop computer, that's your best option. It does take a while for Vixy's servers to convert your video, but you can't beat the price and convenience.