I use a similar product, called NetVideoHunter. It's pretty convenient, just a click to capture a video. But you have to start the video playing first so it can intercept the URL. It looks like that'll have to be how I do this.
I found a bunch of videos on the Cockos Wiki, which contains a link that says "you can download all those videos in Windows Media format for offline viewing". Bingo! Unfortunately, it was a dead link.
So I've decided to do it the slow way and have kicked off a half-dozen YouTube captures. It'll eat my bandwidth all morning, but I'll have something to watch on the plane and under the mango tree.