Well, I do it quite often, but it'* kinda a pain to describe the process.
What you do is make your own html file with a direct link to the video'* actual location. Then open the page you made. Then just right click the link you made in that page and choose 'save as...'. Basically you make your own direct link, like harofreak00 is describing above.
Here'* the html code (copy and paste into notepad and save as whatever_you_want.html)