Well first off, you have to pay. There is no circumventing that.
Now you have your clip and it is not a wmv file, this is what causes the 'I can't save it problem'. What it is actually is an asf file.
An asf file is a way to stream media. So if you had a piece of software that was capable of recording streaming video you would be able to play the file again and again.
Unfortunately the best piece of software for this is now illegal to download but there are others, just google 'how to record an asf file' and you should find plenty. Be warned though some are better than others with asf files so you may need to try a few before you find one that works.
FAO Jaques
Re: FAO Jaques
quis custodiet ipsos custodes