I found a site that will let you put the url for a particular youtube episode in it. It will then download it to your hard drive in the form of an flv file. There is no need to download a program as it is all done onsite. It is simple and intuitive to use as well. Check it out at http://keepvid.com/ Oh yeah, it says it works with most video sites, but I haven't had a lot of luck outside of youtube.
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Oh yeah, it says it works with most video sites, but I haven't had a lot of luck outside of youtube.