There are two ways to download them.
this way is probably easier for most people.
you will need Firefox for it though.
download the extension VideoDownloader
https://addons.mozilla.org/en-US/firefox/addon/2390
then once you have the video saved you will need to convert the file extension .flv to .wmv
Do that by using Riva which you can download here:
http://www.download.com/Riva-FLV-Encoder/3000-2140-10320097.html
Another way which I find easier is to use a website.
copy the link of the video into this website
http://keepvid.com/
then right click the link it will provide and click save target as
save the video as a .flv
then use Riva to convert the .flv.
hope that works if not I'll attempt the clarify it.