For Quicktime movies and MP3 files, open up the Activity Window and locate the file. It should be a relatively large file with something like a .mov, .mpg or .mp3 file extension. Once you have found it, simply hold Option and double-click on it. Alternatively, pressing Option-Return will download whatever item is selected in the list.
For flash videos, you will want the .flv file. It’s not always obvious which file this is. It should be the largest file on the page, and may still be loading. For YouTube videos, it is called get_video and doesn’t have the .flv extension. Double-clicking this file will start it downloading. If the file doesn’t have the .flv extension, you will have to add it on after the download has finished. To watch these movies you will need either the Perian Quicktime plugin or a player such as VLC.