You can right click them on a PC and 'save as'.

If you have Firefox, you can get an add-on called 'Download Helper' that lets you save audio files or videos such as what's on YouTube. You can then convert them to Windows Media files and put them on CDs or DVDs. It's free, although unless you register, you get a little icon on a not terribly annoying place on the window. In Firefox: Tools/add ons/get add ons.