I tried to download it with Replay Media Catcher 4 and the web-site appeared to be using HTTP .mp4 videos. You can download them with freeware Fast Video Download extension for firefox or just copy them from your browser cache using freeware Freecorder 4 and Jaksta Free Media Recorder.

There are lots of other programs that will be able to download/capture such streams:
FAQ: How to record/download/capture/save Adobe Flash .FLV/.MP4 video HTTP stream from embedded player