Well for most links if they allow 'hot linking' you must right click the link and select properties where it will give you the URL for that file. That would be considered the save link. Sometimes, in fact most times, sites don't allow this because of bandwidth usage.
Click the green arrow to the left of the file. Otherwise you will just stream it. If you have any other problems PM me.
I used Windows Movie Maker, the one that comes with XP. I have Pinnacle 10 and Adobe Premier but WMM is just easier.
