i dont know about a specialised program but i have a program that i universally use for recording ivdeos on the pc. its Hypercam, u can get a free download by browsing google. its not a specialised thing though like i said, u just set it to where u want it recording and fiddle the settings for ur liking. pretty simple to use and hope it helps
theres also the "save target as" button you get when right clicking a hyperlink. although make sure it comes up default as avi,mp3 or whichever media it is, cos if it says HTML, it means ur downloading the webpage :P
I use a program called Cocsoft StreamDown .. I can save most streaming video with it..
For ''silly'' sites like 'YouTube', you can cut & paste the url of the page with the video on into the bar on this page ... http://keepvid.com/ ... and it will download the video for you ...