Try to do a 'right-click' "Save-As" then change the ".htm" part of the filename to ".wmv" before you click save. I guess you could always rename them after you download them also...
BTW, Downloading these takes a long time even on a high-speed line. The vids must be hosted on a 386 using a 2400baud modem...
Either that or we're all hamming the site at the same time!!
These are what we called "Karaoke" when I was in Thailand. I'm not sure any of the "take home" would have been satisfactory if they had these vids in the karaoke menus in those clubs...