Media Player - saving www files to hard disk

I have Windows Media Player 9 with a number of Playlists containing
Video Clips downloaded from the Internet (movie trailers etc). They
have a “www” in their address title but when they are played they seem
not to come from their original source but are on my hard disk
somewhere. Can I transfer them to my hard drive properly so that I can
edit them?

Thanks in anticipation

Rob C


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Rob C