Hmm.. I don't think that streaming video is saved anywhere but in the buffer, which is in RAM, not a temporary folder, but depending on where you're streaming it from, it will be either easy or difficult to download.
Comicstring1 has the right idea. It depends on where you're streaming from though. Is it a video inside of a webpage (like youtube)? Is it a direct link that opens your video player? Are you opening the file directly from the web, so it has to download first somewhere, then play? Is it a true video stream? (that you're using real player to listen to?)
If you are streaming from a place like youtube, then first look around for a "download video" link on the page. If there isn't one, then as comicstring1 said try using a downloader like "http://www.downthemall.net/" (which is a command line downloader that I love for stuff like this because it's a lot easier to use when experimenting with different URL's).