Thanks guys it did the trick.
When you've downloaded the movie, it should be on Temporary Internet Files. So you should be able to find it there to watch as many times as you want.
Once you've downloaded the video FULLY, click Tools then Internet Options on Internet Explorer. Click the Settings button under Temporary Internet Files, then click View Files. You should be able to find it in this folder, named pes3.mov. Right click the file and choose copy, and you can paste it to any folder on your hard drive, so you can watch it as many times as you want.