Go to keepvid.com, enter the file url from youtube into keepvid, select youtube site and right click and save as once it's downloaded. You will have to save it as a .flv file. On keepvid site there is a convertor which alllows you to convert into wmv, etc.
Or if you are using the Mozilla browser you can get an addon called Videodownloader, which basically does the same thing as above with a single click
