There is in fact a way to download movies from YouTube and whatnot. Just go to:
http://keepvid.com/
Open the video in one window, keepvid.com in another. Copy and paste the URL of the video into the text field at the top of keepvid, select the site you're trying to download video from (YouTube, etc.) from the dropdown menu and click download. Works for me 9 out of 10 times. Simple as that. Good luck.