Yes, in some cases this would be true, if they allow you to do so.
In most cases though, they stream and unless they give you a server to download the fully streamed version to run on your standard player, then I'm afraid this doesn't work.
If they stream, it is almost impossible to just save onto the hard drive and store I'm afraid. Plus, if its saved to play within a webpage, i.e The websites flash player for instance, you have no chance of getting this onto the hard drive through doing it that way.
An example would be to go on here:
It has movies of up coming games for consoles to download, and these run in Windows Media Player, and they have an option to Save the movie using a seperate link.
I'm afraid its just the way of the web.