You might notice as each video loads, that down near the bottom of your browser the term "brightcove" show up briefly.
Brightcove is a video platform that companies sometimes use to thwart downloading/copying of the video they post.
There may be a program out there that can capture these, but Brightcove is always keeping one step ahead, so something that worked 6 months ago might not now. If it can be done, it's something that they try to make as complicated as possible.
Here's a couple of discussions about it I found:
http://www.mahalo.com/answers/from-twit ... bitly6iwhphttp://www.kmcgraphics.com/videos/how-t ... -easy-way/