To download a graphic to your computer, either right click on the graphic if you're using a PC, or hold the mouse down on the graphic, while holdoing down the Ctrl key, if you're using a Mac. A menu will appear that will allow you to "Download" or "Save" the file to disk.
If there is a hyperlink on the page that plays a sound or video, or loads a program, you can usually download the file the same way you would a graphic. If there is no hyperlink then you might check yourcache folder for a large, recently downloaded file that you can save to another directory on your disk. The name of the cache file will not be easily recognized, so you'll want to change it.
Some versions of QuickTime allow you to download the movie (after is has already been fully loaded) by clicking the arrow menu button in the lower right corner of the QuickTime Player window.