Follow the instructions on the site on downloading, ensuring you save the file with an '.flv' extension.
Once saved, you can either play the video locally with the Riva FLV Player that comes with the encoder, or you can open the encoder, browse to the FLV file, then set the target video file with a name with an extension '.mpg', to be able to view it in regular media players.
There are also tabs on YouTubeX that gives you options to download videos from these sites: