A user called Zee has left a new comment on this post detailing his method of downloading news video clips from CNN (they are actually flash video flv files)
Reproducing the trick here:
1) clean up the "temporary internet files" folder
2) open Internet explorer and go to the page where the desired video clip is located and let the steaming video run (its usually choppy as it is downloading the file and playing at the same time)
3) once the clip is finished playing (and downloading), go back to the "Temporsry internet files" folder find the relevant for the video (which has.FLV extension) and copy it to another folder on my hardrive whre I want it saved.
4) and voila! you are done, and you can play the video anytime using the free FLV player whoch was mentioned in the original method. Easy. No software to download!