This page helps you save the content you find on the internet. It doesn't work for eveyfile, but it does for quite a lot.
Background: If there is a link on a page you can right click it (or control click it- mac) and then save the "target url"*. So if there is "some.mov" file linked from an html doc you could right click it and save the target file. Now if the movie was in the page as an object... well you can't save it. This is when this tool comes in handy. It's also useful when someone sends you a link in IM or email that goes right to the media file.
* different browsers phrase this whole thing in different ways: "download link to disk", "save target url", "save link target as..." and much more.... good luck.