The simplest way is to use the online service:
http://vixy.net/flv_converter
There you drop in the url of the youtube page and select the file format you want. A few min later, you have a link to the converted file that you can download.
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There other ways to do that, typically it involves saving a youtube clip as a .flv file and install a conversion tool on the computer to do the conversion to the saved file, as described in a msg by 圣牛 a few days ago.