I found and clciked on this link first:
https://my.mail.ru/video/embed/1857594555478585285
Then, I found a direct link from the link above, by looking through the source code.
The link I posted at first had expired.
So, after clicking on the link above in this post, find the link that starts like:
https://cdn41.my.mail.ru/, using the source code's search feature in your browser
You should then be able to right-click and save the video.