I wanna know the same thing. I have a Macintosh...and the players I have are Real Player, QT, & Windows Media Player. The browser I'm using is Safari, & in Safari, I can go into an option called ACTIVITY..to see what exactly is being uploaded or downloaded. I can option-double click on any download & it'll download onto my desktop. I have many FLASH animations/games I got off Sesame Street's website by doing that, because I have dial-up, it takes too long to go on there all the time & play the same game...so I play them offline.
Also, if you want to download Sesame Street clips...you can get one of those peer to peer programs & search for some on there. I found a few that my son loves...like Rubber Duckie & that other Ernie segment where Cookie Monster tries to steal his pillow by ringing a bell a few times for distraction....and the ladybugs picnic. I'm trying to get most of the segments that are on the Sing Yourself Silly video. My 1 1/2 year-old loves that video....his favorite is The Honker Duckie Dinger Jamboree & Jellyman Kelly. My wife rented another VHS video & now he's in love with Ernie's We Are The Insects Of Your Neighborhood & Bah Bah Bamba. It brung back memories for me because the video had that old Hard Working Dog segment.