I guess you could always use Virtualdub to capture the screen and save it with a lossless codec. Kind of a hack but it works. I sometimes have problems capturing the video and audio at the same time though so I do a 2 pass. Sadly it captures in real time so that'd be about 4 hours minimum for a 2 hour movie :(.
Have you tried Jdownloader? Sometimes you can throw it a link and it'll download the file in a couple of minutes. I know it works with vimeo and youtube etc.