yeh thats the way i do it as-well.
to speed it up, when you open the 'notepad type' screen, press 'ctrl + f' (on firefox anyway) and it brings up a little search bar. Then just type in all the different types of video file types you can think of until it finds one, (e.g .wmv, .mpeg, .mov etc...)
It will highlight it and it will be at the end of the link you need. Then just highlight the whole link and copy it into a new brouser and it should let you download it. :(