Sites like that usually use flash for the video but almost always "wrap" it in a way that makes it impossible for the average user to extract. (youtube does this also but it's so popular that commercial programs have been made specifically for it)
NBC's page is particularly complex. Sometimes you can search the page source for ".SWF" and find the item, but they appear to be using a mix of javascript and flash with calculated page addresses and cookies which would make it rather tricky to pick apart.
One other approach is to open the page in firefox and use their object inspector to try to find the video object. While in theory this is guaranteed effective, it's often very hard to find the object on a complex page.
Some flash and java pages will cache videos once downloaded, and you can find them in their cached locations. Online games that save your score and progress use a similar technique. (it's not cookie-based)
