How Can You Save A Video Downloaded By keepvid.com?

im trying to make a music video about a show i like but i need to download alot of parts so i used www.keepvid.com and then after the download i clicked open and it took me to movie maker which was perfect but my computer wont let me see it on movie make cause it needed to be saved in my doents but idk how to put it there! HELP?!