I use a website called keepvid, it extracts the flv-file from the You Tube url you insert/paste, then you can download and save the file on your hard disc.
I have a flv-player that works like Windows Media Player and I can watch all the flv files on my computer with it.
However, if you want to convert it into another format like avi or wmv, there are many programmes that do that, some of them are free to download. Some free download managers can download flash videos and convert them as well.
I use the online service media convert and don't have any conversion software installed. With most flash videos - like from Google video or You Tube - it works just fine.
The only videos I haven't been able to get are the MSN videos, I don't know what kind of file that is and none of my programmes supports the site.