With Firefox, I think there is an addon called DownThemAll or something like that, or in safari, go Window->Activities and then you will have to find the playing object on the site as they usually aren't named anything coherent (but it's usually the largest file).
Maybe there's something different about this site, although I see no reason why there should be. In the activities window, double click on the thing you want to download (It might only work in Leopard and/or Safari 3...) It has worked for me on all the site's I've tried. Could you provide a test link? (If that's okay with the content owner and whatnot)
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