But there is a way to save it on your HD.
Use:
http://www.youtubex.com/
here you have to add the file name .flv to the downloaded file and converte it later to any format you like by a program on your PC.
or even better:
http://www.viloader.net/index.php?language=en
This progam has a converter connected. Use .flv file as input and any format you like as output. If the URL is converted in first step, use the tiny button "convert" below the URL.
Both online grabbers are often not available because of excessive traffic.
Have fun!
May be you want to start with this
http://www.youtube.com/watch?v=vSIEto2hQ5I
Flu