It can be easily downloaded using Internet Download Manager. If you don't have that software, you could alternatively use a network sniffer to get the .f4m manifest and AdobeHDS to download the video content.
Code:
php AdobeHDS.php --manifest "http://video.skysports.com/Fyb291MTE6uJrUKhDmIIEsjTqq8fg5XC/Fyb291MTE6uJrUKhDmIIEsjTqq8fg5XC_1.f4m" --delete