The videos on YouTube are 'Flash video files' (.flv). Firefox has a plugin that will save them but you will need a file converter to play them on Windows Media Player. Riva is easy to use. http://rivavx.de/index.php?encoder&L=3 (Link#1)
And a tutorial for saving in any browser.
http://youtube.com/watch?v=DBzqQjDQH6A&feature=Discussed&page=3&t=t&f=b
(Link#2)