Copying video's with internet explorer?

jesse1

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Ok, whenever I watch a video on youtube or wherever, it has to download before it can play, ofcourse. When I had Windows xp, I could go into internet options, look under the cookies and copy/paste the downloaded video and put it on my computer, I did this with songs as well. I now have Vista and the new version of internet explorer, how do I do it now?
 
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