ChinaLove: Maybe I can help you out. In Windows XP, at the browser you used to view the show (say, Internet Explorer), click on the Tools tab, then Internet Options, click on the button called Settings under the General Tab, then click on View Files.
You can either sift through the bunches of files there, or you can just click on the tab called Size so it'll sort. The Dior video would usually be the largest-sized file out of the list. When you find the video, drag it out of the folder and into another place in your computer. There, it's stored (semi)permanently in your hard drive. You can burn this into a CD or whatever from this point on.