hivered,
one of my favorite little apps is called "download helper". it is a plug in to Firefox browser that lets you download Flash videos from websites
for example, you could d/l not only the song but the video along with it from youtube of that highlights vid that someone on this board put together (
http://www.youtube.com/watch?v=yLzYtczNfKY&feature=player_profilepage)
it saves it as a .flv file (flash video) which plays in Windows Media Player and many other players. there are also several free converters out there that let you convert to mp4 or whatever, if iTunes can not play .flv files
i really like this tool and it so easy to use, from an icon on the browser toolbar
you might want to check it out