It's a streaming video in WMV format.
If you right-click on it whilst its playing and click properties an info box will come up, which includes location information. If you copy this location and paste it into something like Net Transport (
http://www.xi-soft.com/default.htm), you will be able to rip the stream to your hard drive.
WMV format isn't the best format for editing. The video's dimensions are 400x300. My advice is to firstly import the WMV file into Windows Movie maker and do a straight export to DV AVI.