Actually I just noticed that I can get the direct URL for the video when I click the 'Adblock' tab in firefox right above the video. Then using that URL in a new window, I can go FILE->Save page and it saves the video.
Is there a fast or better way to do this? I'm going to become a member of that site and instead of doing this for each video, is there a good program to use to copy them automatically to my desktop? I remember using a software once that allows you to enter username and password for a site and it copies any file(s) according to extensions or the entire site what not. Copying the entire site seems like a good idea when traveling with no internet connection.