depending on the markup language the server uses, it is possible to save streaming media, but it requires some knowledge of html...provided the site is purely HTML. if the site is php or jsp, or anything along those lines, then it's not possible, since only the server has the source code with the actual video file.
Anyways, all you have to do is open up the source code for the webpage. use the find command, to look for the " <EMBED> </EMBED> " tags. The streaming media player will be inside those tags. examine this part of code until you see something that looks like a file type
EX:<embed> player="Ihatewindowsmeadia" src="http://neverpayforwhatyoucangetforfree.com/this_isnt_legal/oh_well_its_free.mpg</embed>
copy and paste the URL of the movie file and you'll be able to save it if the file runs in windows media. I haven't figured out how to save streamed Quicktime files (.mov) yet. Hope this helps.