If you run it in the address bar and it plays in your browser, you should be able to press Ctrl+S (Save) to save it.
You can also download it in something like FlashGet which will just download any direct link you post into it to a directory you specify.
If there's only a few videos I would just use one of the first two options though. Flashget is better for bulk downloads (10+).
I don't know any websites that'll do that. But using this search I found a few browser plugins/extensions that will, e.g. FlashGet, Bulk Image Downloader.