How can I save this special kind of streaming videos?

[jeanpave]

Hi.

Does anyone know how to save those streaming videos that play in a Windows Media Player interface, but inside a website? (If you have a program like DownloadHelper, they won't be detected by it.)
So, the video plays as if it was a YouTube video, but you can clearly see that it looks as if it's open in WMP, which seems as if somebody pasted the Player on top of the website window.

There's a documentary which we must watch, on the cbc.ca website, from the archives of the Canadian broadcaster, and it can only be viewed through their site. But that site does not load properly very often, and the streaming quality decays to awful levels sometimes.
So, I just need to save it, in order to be able to see it, from start to finish, when the time permits.

Thanks a million, in advance, to whomever can help!

[Case]

That sounds like a Silverlight implementation. Not sure how to download those clips, if even possible.