If you have flash enabled, and are comfortable reading HTML, you can locate the filename and use a DL manager like FlashGet to download the file. If you are not comfortable with HTML, a site imager like Black Widow or Offline Explorer. If you do not have flash enabled, it will prompt you to DL it.
I use a program called "SaveFlash". It works great. You should be able to download a shareware version of it that functions. It puts an icon in IE that you click and then tell it where you want to save the flash file. If there are more than one .swf file on the current page, it will let you put a check mark next to the ones you want. Pretty nice program.