You will need to get one of the free programs below. I have also mentioned AoA Audio Extractor (rip music from video) and FormatFactory (convert to other formats). I have tried many softwares like these and the ones below are the best ones I have found so far.
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DOWNLOADERS (also work on many other video sites)
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If you have Internet Explorer, get Real Player:
http://uk.real.com/player/win/
If you have Firefox, get VideoDownloadHelper (because real is not compatible yet):
https://addons.mozilla.org/en-US/firefox/addon/3006
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AUDIO SOFTWARE
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AoA Audio Extractor:
http://www.download.com/AoA-Audio-Extractor/3000-2194_4-10605079.html?cdlPid=10891668
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VIDEO CONVERSION
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FormatFactory (also deals with pictures and audio):
http://www.download.com/FormatFactory/3000-2194_4-10819418.html?cdlPid=10882915
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Some answerers may recommend software that downloads and converts it all for you automatically. These all-in-one softwares are never the best. You are better just getting a few seperate programs which are good at what they do. I have tried tonnes of these and the ones above are the ones which I reccommend as the best options. Although you may not want to download any software what-so-ever. If this is the case, you can use an online converter. Just have a look for one in the answers above that has thumbs up.
Hope this helps!
Gizzo