I often get questions like “Why can’t I download the movie trailer from that website?” Because the links on those website only point to video stream files, so the users could not get the video files directly by right-click-and-save-as. Video streams come in various formats, one of which is, of course, Windows Media (ususally with an extension of .asx or .asf). SDP Downloader is a nice little utility to get around this problem.

Previously I used ASF Recorder, but I cannot find its website anymore, except the one with SourceForge.

Another common video-streamling format is QuickTime. It used to be easy to download QuickTime streams: you only need to change the QuickTime Player settings to allow it saving a copy of the temporary file, and then you can make a copy from the “Temporary Internet Files” directory. But I am not able to do the same with the new QuickTime 7.

Reference:
Streaming Media Reccording – a comprehensive list of softwares for downloading audio / video streams. (I haven’t tried them all … those in the QuickTime section will be my first targets).