ok right click on a page, not a link. The menu that pops up should show an option to "view source" or in FireFoxs case "View Page Source". This opens the page in a text only viewer. Now you can just wander through the code and find something that has .mpg .avi .wmv or .mov at the end(which is usually the longest line in the viewer). The easiest way for you is just to use the search option in the viewer, look under edit, or maybe view, whatever works.
For me its coin toss, in short pages its faster for me to look at the html and find the address, but when a page is like 400+ lines long, its longer.
Uhm some pages don't give you the full address, but a directory/filename, and you'll need to put the web address before that... like this
and address in the address bar is