I happened to find this way on google. And hope to share with you.
Please reply me if you have any other ways.
The software I'm using is called flv downloader. It is a freeware.
Install and start the downloader.
You needn't get the url when downloading the vid.
Press "start recording".
Click in the page where the vid is playing.
The downloader will automatically save it to your hard drive.
Then you can watch it with the embeded flv player.
Happy sharing with you. Don't foget to reply your way.
You can search "flv downloader" on google.com for more info.