You must have Firefox Version 1.5 - 2.0.0 in order for this to work! I found this awesome program that can download files straight from a page, such as YouTube videos. I find this helpful because I can use this to put BLEACH episodes from YouTube on my mp3 player and watch the videos straight from my mp3 player. Downloading it is free, too. Go here to download it: http://www.downloadhelper.net/install.php The program pretty much explains itself. Just have the little download helper icon next to your browser; if it isn't already there, put it there. If you go to a page and you see that the little icon is orange and it's jumping up and down, click on the arrow next to it. Some files for you to download will drop down, click on them to download them. You may also have to download this in order for .flv files to work: http://www.videolan.org/
I personally use a program called "video downloader", which I use for videos. These programs are really handy for getting videos on sites which don't offer a download service. The only one I know of that does is veoh, and you have to download their special client for that, which is really irritating.
Oh, but this doesn't only download videos. It can download a lot of things; but I've really only had it for a few days, so I don't know what all it can download.