The problem is that Internet Explorer does not save the shockwave flash object, meaning you're downloading everything except the mini flash movie. What you'll need to do is use an alternative browser, such as Firefox, which does save the flash object. While there are third-party programs that can also do this, using Firefox is easier and cheaper, plus it gives you a better (more secure, faster, more-customizable) browser than Internet Explorer.
* Using Firefox, click here for the full-screen version, and once it loads go file->save page as, choose your download location, and select "web page, complete" as the type.
* When playing it back, make sure you have both the html file and the folder with you. (Transfer both if you are playing it on a different computer.)
* To play it, you can open the html file with what every browser you like. Double-clicking it will open it in the default browser.
* You can also keep just the movie, ditch the rest of the website. In the folder you'll find a shockwave flash object, in this case titles jack_s. Double-click that, tell it you would like to choose the program, and select something along the lines of RealPlayer from the list. This way you'll be able to play it as you would a video instead of as a webpage item.
Hope this helps,