I've been luckier to be able to copy the wmv.dav file while it was being decoded by Pirates Buster. However, I don't know whether wmv.dav is anything different from wmv.gggz. Perhaps the extension is just a convention?

1. Install Unlocker
2. Play the wmv.dav file as usual
3. Right click the wmv.dav file, choose "Unlocker"
4. The screen of Unlocker pops up
5. At the lower-left corner of the pop-up window, choose Copy
6. Rename the file
7. Let Unlocker copies the file until it is finished
8. Done!!!