Just for reference, here is an example of something I have tried unsuccessfully.
Code:
rtmpdump -r "rtmpe://mbrstream.kelbymediagroup.com/ondemand/encoding" -a "ondemand/encoding" -f "WIN 11,1,102,55" -W "http://media.kelbymediagroup.com/players/player5.8/player.swf" -p "http://kelbytraining.com/online/watch/jgrimes_photoshopcompositing" -y "mp4:kt_jg_photoshop_compositing_01_720p.mp4" -o ~/Desktop/grimes01.mp4