No it is not.
As far as I know, downloading something to my local HDD for my personal use and reference is no different than me saving this HTML web-page on my computer. (And technically, everything you view on the internet is downloaded onto your HDD unless it is streaming content. So if you go to my personal website, Alex, and you view my picture, then YOU have stolen my content unless you erase everything - including cache files - off your HDD immediately after viewing it!!)
This may be a gray area, but since I'm not trying to copy, sell, re-distribute, or steal anyone's work, who cares?!
My intent, though, is to be able to go back and watch this "movie" in 6 months and use it as a reference to maybe learn how to do Flash movies myself. (By them the link will be offline.)
Until the Supreme Court states otherwise, all of this falls under "Fair Use"...