You can save a youtube video with this site:
But when you save it, it comes as an FLV file. You can use some weird players to play that file, but you can also convert that file to a WMV file, which is so much easier and useful.
This tool can convert FLV to WMV:
Basically, unzip it and then from a DOS prompt, run:
ffmpeg -i file.flv newfile.wmv