To download videos from sites like youtube.com megavideo.com metacafe.com e.t.c.
All you have to do is
Follow the following steps

Step 1: Open Internet Explorer

Step 2: Go to that site

Step 3: Watch the full video

Step 4: Replay it one more time just to make sure that the whole video is buffered into the memory

Step 5: Go to The Desktop and right click on the internet explorer icon

Step 6: Click on Internet properties.

Step 7: In the General tab of the Internet properties dialog box you will find a Temporary internet section click on the setting button of that section

Step 8: Then a setting dialog box will appear Click on the View files button.

Go to Youtube.com
Copy the url of the video you want to download
Open Keepvid.com
paste the url in the box of the keepvid.com
press download button
then two links will appear in the box below
One of the low quality flv video and other of the high quality mp4 video file
right click on the one that you want and save it as desired name ( video.flv for flv and video.mp4 for the mp4 file ).