With some video streaming services, it can be a bit cumbersome to save a local copy of the movie. Streams offered by mpegnation.com is an example of this. The following will however do the trick:

0. If you have Windows installed, removed your harddisk, mix garlic with Holy water and apply liberally to the disk. Then bury it in your garden under a full-moon. Get a new disk and install Linux, e.g. Fedora Core

1. On your Linux box, install these packages, e.g. with Yum:
(You'll need access to one of the unofficial RPM repositories, e.g. Livna)
rpm -ivh http://rpm.livna.org/livna-release-5.rpm
yum mplayer mencoder

2. Download the link to the movie you want to save. In this example, we'll use the Windows Media Player WM9 file. The text file you get will contain something like this:
REF HREF="mms://wmstream3.mpegnation.com/...

3. Copy that link, replace the mms with http and download using Wget:
wget http://wmstream3.mpegnation.com/...

4. The new file will contain a link to the actual movie, like this:

5. Use this link to save the file using MEncoder:
mencoder http://wmstream3.mpegnation.com/... -o movie.asf -oac copy -ovc copy