when the site opens its own video player in another window
Depends on the site, but usually I'd right-click in the body of the new window (not on the embedded player or video), and select "View Page Source". Once the source page is open you can search it for links (example; Ctrl+F to open the search function and look for "wmv" or "mov") and then paste the link into something like Download Accelerator to do a forced download. Sometimes you have to extrapolate the link yourself if the site uses context-based links (ie, just the folder and file name. You'd have to add the site address and any other folder names necessary to complete the link.)
Is that the kind of thing you're talking about?
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