Windows Media Streaming videos URLs normally begins with mms:// mmst:// http:// and ends with extensions: .asf or .wmv

Sometimes links on websites will link to a .asx or similar page witch automatically opens Windows Media Player. To find actual video file URL download .asx file to your desktop (right click on the link and click on Save Target as, Save Link as, or similar). Then open downloaded file in a text editor (notepad or similar). You should be able to easily spot link to actual file, which should look similar to: mms://www.somedomain.com/videos/2011.01.01_398.asf

Once you have URL to the video file download and install free SPD Media Downloaded (for more info and latest versions check here)
Run SPD Downloader
Click Open and paste your video URL
Click GO and choose where to save file

If you are getting error similar to: > TTCP: socket connect failed: 10061 try changing protocol to HTTP:
Setup > Setup Options > Protocol – select HTTP (80)
Close and try again

Downloaded .asf or .vmw file should play without any issues with Windows Media Player and other most popular players.

Windows XP