Ok. You have two options:
Option1:
The Video from Videocure is Windows Media stream. Use any stream recorder supporting Windows Media streamed through the MMS protocol. One best tool is WM Recorder.
Download: WM Recorder 11
Option2:
Use a Video capture program. You can use ZD Soft Screen Recorder for that.
Even though a freeware, it offers best capture of video, may it be full screen capture or a Window Video capture.
Download: ZD Soft Screen Recorder