IIRC, Quicktime Pro will let you save stuff that you view on the web (if it's not directly downloadable). You get some additional options when viewing the movie, and one of them it to save to disk.
Another way to download quicktime files is to check out the html source for the page with the movie and copy/paste the link into a program like Gozilla or Getright. That's the way I do it, and it's great on a 56k connection! :)