Where's The Video

Hello all,

I remember being able to go to a website, play a music video and then open
up the Temporary Internet Files folder and find a copy of the video on my
hard drive. Well, that does not seem to happen anymore. How come the video
isn't saved to the hard disk once I play it online?

I thought maybe that it's saved in a different place now that I have Windows
Vista installed, or is there something deeper going on these days and I just
missed it.

Is there anyway to configure my system to support that feature again?

-A