It depends on how the video is embedded and which format it is.
- You can try to open Page Info (CTRL+I) > Media tab and see if you can find the video there (Firefox).
- Sometimes you can right click and open frame in new window, which then allows you to save it (you may need to enable dom. event. contextmenu in about:config if they block right click)
- Get the VideoDownloadHelper addin (Firefox)