But for something that you've already watched, be it youtube, an ad, a movie trailer, etc, the video has already been downloaded, and will be in the internet history as Redwing said.
For IE, go to: Tools - Internet Options - Browsing History - Settings - Temp Internet Files - View Files
For opera, type: opera:cache in the address bar, and for firefox type: about:cache
You can organise by type, then copy the video file to wherever - If you try to play the video from the temp internet folder, while the pc is connected to the net, you'll probably find that the video is just treated as a shortcut, so it will be downloaded again.
And for converting wmv or almost anything to dvd, I use convertxtodvd, which is supposedly the fastest and highest quality software around. A low end/cheap dual core pc or laptop will convert and burn a 2 hour movie to dvd in under an hour at high quality. It can be had for free...