(Only confirmed for WMP9)
For those who don't know...
Go to foxnews.com or a site which allows you to see videos (unlike CNN where you are required to pay, unless you have the superpass hack)
open the movie.
then go to your "temporary internet files" file, and find the video. usually it is easy to find as you probably have a different movie viewer as your default movie viewer, and therefore it is the icon. it is not usually however, obviously shown like "BUSH SPEECH". it will often be like: 127836bushpress44 or something.
open the movie. go to file, "save media as"(or "save as") and save it to your kazaa shared folder.
when it is done saving you can go and rename it to an actual name of the movie. you're set
This will work with WMP9, i'm not sure about realplayer etc.