Just look in C:\Documents and Settings\[Your Username]\Local Settings\Temporary Internet Files

They are cached in there.

They will look like this "get_video?video_id=M0ONe2Leoq4" The characters after the = is the video ie. http://www.youtube.com/watch?v=M0ONe2Leoq4

Just copy the file and rename to something.flv

For playing the video you can use Riva FLV player or converting use Super.