I was able to capture the video with freeware Freecorder 4 and Jaksta Free Media Recorder. I was also able to copy it from the cache of Internet Explorer using Replay Media Catcher 4 (go to Cache explorer and click Refresh. Select the video and then Extract to extract it from the cache to your download location).

Extracted video plays fine with Applian FLV Player.

Note that whether you use Freecorder 4 or RMC, you need to wait for the video to be fully downloaded.