Obviously I tried to record. I used Replay Media Catcher and it had no any problem downloading RTMP video streams. I just navigated to an item in the playlist and Replay Media Catcher recorded it automatically.

Replay Media Catcher shows you the names of the videos being recorded from MSN, so it is easy to cancel the recording of a video you don't really need.

Besides you can click on the "Related Videos (view all)" link on the bottom of the MSN Video page and find the following music videos of Leona Lewis: "Bleeding Love" and "First Time Ever I Saw Your Face" which Leona Lewis performed at Clive Davis' pre-Grammys bash. So you don't really need to record all the videos from the playlist or click the Next button to navigate to the video you really need.

There are only two RTMP flash stream recorders that I know. You can try which one works for you better. I've always recommended Replay Media Catcher.

You can also be advised to use screen capture software, but disadvantages of using such programs were discussed many times.