Hi X5Jay, none of the suggestions above will help you! I'm a video format junkie so here is what I know. Cnn videos are windows media streams. Videodownloader will certainly not work on that. You need to record the stream as it happens. The only program that I've gotten to work is wm recorder:
http://www.wmrecorder.com/ It tricks the streaming server into thinking it's a web browsers and saves the stream to file.