WM Recorder in the PRO mode and freeware WebVideoCap allow you to capture packets from Windows Media Player, so you can watch Windows Media videos and they can be saved to your hard disk at the same time.

I don't really know how to combine the two parts of RTMP flash video URLs, but you may try to use freeware Orbit Downloader or NetXFer to find RTMP stream URLs.

Also Jaksta and Bit Recorder can capture packets from flash player broadcasted through the RTMP protocol.