Since they are stored on youtube and require shockwave to play, you need youtubs interface to play them, you can't really download them I don't think. There is no real need to download them, they provide the embedded source for you:
HTML Code:
<object width="425" height="350"><param name="movie" value="http://www.youtube.com/v/IcgQyRuZ7rs"></param><param name="wmode" value="transparent"></param><embed src="http://www.youtube.com/v/IcgQyRuZ7rs" type="application/x-shockwave-flash" wmode="transparent" width="425" height="350"></embed></object>
If you are wanting to send it in an email, just open Outlook, click on send mail, then go to format, and select rich text. Then just paste the embedded code into your email and they will see the video in your email. This is better than sending a whole video file anyway.
If you want to save it locally, you can paste the same code into a notepad document then just save the notepad document as whatever.html.