QuickTime Player will play the video, but to capture and save it, get QuickTime Pro ($29). When the movie is loaded all the way, click the downward-facing triangle at the bottom-right of the window, and choose Save As QuickTime Movie. Or you can try Ambrosia Software's Snapz Pro X 2 ($69 for the Movie Capture version).

Snapz Pro X 2 can capture any part of the screen - even a boring typing session - and save it as a QuickTime movie.