Just view the source (ctrl+click on page, view source) then do a find (ctrl+f) for "swf" to find the flash file, then put that in your address bar and hit return, then save as.
It works the same way on a mac if your using I.E. you can still retain a copy for this specific purpose
The temp folder for IE is in yourHomeFolder/library/preferences/Explorer
Edit: although, depending on how it's encoded into the page, sometimes you can just control-click the link and select download