Open the link. 'View Original Version'.
Click Play. When it starts, pause it. Right click on the video.. properties. You should see:
blah blah://media2.liveleak.com/xyz3/2006/Nov/20/LiveLeak-dot-com-15789-cussingoldman.wmv
Copy and paste what you find in your browser and it should auto-download. If it opens media player instead, wait until its all downloaded... (fullscreen it and look at the progress bar turning green. You cant use the fast forward/rewind buttons until its loaded. Same for skipping)
Anyway, in media player just save under the 'File' menu.
Hows that for an indepth explanation?