Update: Daniel has graciously supplied a very easy solution to this problem: Using the VLC player to download and transcode the stream into a file on the local system. Very easy indeed!

See the 2nd and 3rd comments on this post for more details.

If anyone has any idea how I can save the video of the presentation I did here:

http://msexp.streamnavig.com/msexp/player.asp?e=E0068&s=0337_en_w&f=0337_en&uid=00067FFE8647AA45&lng=en&cou=msdn

 It would by greatly appreciated if you let me know about the steps to achieving that.

Heck, there's www.peekvid.com that allows saving videos from youtube and google video, there should be some way to download them from showtime, right?