help downloading videos

[mazdaman]

hello newbee here,
i havent long had my xperia x10 and im a big fan of downloading videos e.g comedy, car videos etc which my old sony was brilliant for. however with the x10 if i press the download mp4 or 3gp button it just brings it up as a streamed video where as i want to save it to my phone. can anyone help me?
Cheers