You will have to download the file to your PC first.
I dont think you can use IE to convert video files.
If you're not using firefox, try the following:
Before you close your browser (that sometimes deletes your cache), go to your cache and sort files according to size. Should be easy to spot a video (large size). You can then copy it from the cache and save elsewhere.
To find your cache on a Windows PC:
C : \Documents and Settings\Owner\Local Settings\Temporary Internet Files
If you have a log-on to your PC, change "Owner" to your logon name.
Once you have located the file, use a program like
RIVA.
You just have to physically type in what type of format you want Riva to convert the file into.