With IE, I'd suggest getting the very useful IE7Pro add-on which, among other things, has crash recovery of opened tabs or simply of tabs open when the browser was last closed.  Anyway, to the point... IE7Pro includes an optional user script for downloading YouTube videos.  This script puts a direct download link to the right of the YouTube video window - the video will be downloaded to the destination of your choice (as, if I recall correctly, getvideo.flv, a name which you can change; there is no need to even play the video).  If you don't want to install the IE7Pro add-on, you can find the YouTube video, after playing it, in your Temporary Internet Files folder, here assuming the boot drive is C:
C:\Documents and Settings\YOURUSERNAME\Local Settings\Temporary Internet Files
(sort by size or date to bring the video to the top or nearly so)

Mouser, please, be advised that, as per my numb duh ploom, I am definitely the craziest person on/in/of/with DC, and, also, I use the, most, commas. So, the search(es) is/are over...