Try these methods

Check this link to understand "rtsp"

http://www.soundscreen.com/streaming/embed_streams.html

Check this link having a try:

http://www.macosxhints.com/article.php?story=20040713092506660

But I Prefer this way which I find is easy and fast:

Changing your QuickTime Player's plug-in settings to allow save movie, mp3 etc. to disk cache and then on browser save page as webpage to a folder of your choice. In a couple seconds, it is done! I test a site for more than 10mg movie file downloading. This is much faster than usual way of file downloading.