How do you download a video from Youtube?

That worked, thanks. However, how do I convert it to a playable file such as WMV, AVI, etc?

Alternatively, you could find a media player that works with FLVs. My personal recommendation would be either KMPlayer or GOMPlayer. Other players that work include VLCplayer and MPlayer. This way you won't have to convert each YouTube video you download in the future.