<< what i like to do is find the source of the file and track down the .swf file and paste the path into a link on a small html file and then u can right click and save target as... and do it that way.. .takes a little longer.. but it works too >>
An even easier way to do it is get the path like you said and put it in the browser address bar. When the file is completed, go to File and Save it from there. No new html files needed.