I do that daily i.e video downloading from youtube.
1. Just save this link as "youtube-dl" =>
http://www.arrakis.es/~rggi3/youtube-dl/youtube-dl
2. command as "youtube-dl -u username -p password
http://whatever_video_address_be output_file_name"
3. Ur done!!
youtube-dl is a python script! So u have to install python first.
Or on LINUX u can just give execute permission to "youtube-dl" file and then command as explained in step 2!