Firefox browser plugins are often best for this. I use "Download Flash & Video" for most non-Youtube sites; I use a dedicated plugin for Youtube.
What the link to the video?
However, all this said, Fox News is hardly a scholarly source. It's right-wing propagandist bull$hit and people that watch Fox News have been proven almost annually to be the most ill-informed of all citizens when it comes to current events. The only time it would be useful for a college thesis is to show how much bunk it is.