The best thing to do is this if you use Firefox.
Go to the site. When you are on the page you want, go to Tools on teh top of your browser.
Once you click Tools, then click Page Info in the menu. It then brings up box like this.
http://img156.imagevenue.com/img.php...ge=97462_1.jpg
Click on the media tab at the top.
http://img17.imagevenue.com/img.php?...ge=97467_2.jpg
You can then click on any media on the page and the click the "Save As" button. in the box.
http://img148.imagevenue.com/img.php...ge=97473_3.jpg
This works great for flash files (swf) and other embedded media and as the last two pic show, it gives you a preview of what you select.
EDIT.
I just tried and it doesn't work for the site you mentioned. I'll see if I can find another way.