Does anyone know how I can save streamed video / audio to my Hard drive?

I've Googled around a bit and there there seem to be a few programs that can do this... ideally I'd like a Freeware version. I want to save the new Keane Bedshaped video from the NME website...

You could try looking for demos/trials because it can take a while to find decent freeware, but forums like this are often very useuful in doing so.