Hi assanissi, just out of curiosity, which browser do you use? If you use firefox I'm sure there are extensions out there which will allow you to do this kind of thing. Anyway, you may want to check out
WM Recorder
Unfortunately it's not freeware but I'm pretty sure you can evaluate it and see if it does the job you want.
Hope that helps.
EDIT: If your using firefox, try the
Download Helper or
Video Downloader extensions. They will allow you to save embedded video/audio from websites, as well as videos from Youtube and plenty of other video sites.